Same, but different: Testing monetary policy shock measures

In this study, we test whether three popular measures for monetary policy, that is, Romer and Romer (2004), Barakchian and Crowe (2013), and Gertler and Karadi (2015), constitute suitable proxy variables for monetary policy shocks. To this end, we employ different test statistics used in the literature to detect weak proxy variables. We find that the measure derived by Gertler and Karadi (2015) is the most suitable in this regard.

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Year of publication:	2017
Authors:	Ettmeier, Stephanie ; Kriwoluzky, Alexander
Publisher:	Halle (Saale) : Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
Subject:	monetary policy shock measures \| Proxy-SVAR \| weak proxies \| F-test

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Series:	IWH Discussion Papers ; 9/2017
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	883871610 [GVK] hdl:10419/156656 [Handle] RePEc:zbw:iwhdps:92017 [RePEc]
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	EconStor

Persistent link: https://www.econbiz.de/10011630387