We propose a blended approach which combines identification via heteroskedasticity with the widely used methods of sign restrictions, narrative restrictions, and external instruments.Since heteroskedasticity in the reduced form can be exploited to point identify a set of orthogonal shocks, its...

We use a novel disaggregate sectoral euro area dataset with a regional breakdown that allows explicit estimation of the sectoral component of price changes (rather than interpreting the idiosyncratic component as sectoral as done in other papers). Employing a new method to extract factors from...