We study the identification of policy shocks in Bayesian proxy VARs for the case that the instrument consists of sparse qualitative observations indicating the signs of certain shocks. We propose two identification schemes, i.e. linear discriminant analysis and a non-parametric sign concordance...

Most studies for the monetary policy effect on stock markets have concentrated on using the primary index to proxy the stock market. The present paper, avoiding 'aggregation bias', seeks to unbundle the effect of monetary policy on the stock market in two ways. First, the non-linear model is...