Different local projection (LP) estimators for structural impulse responses of proxy vector autoregressions are reviewed and compared algebraically and with respect to their small sample suitability for inference. Conditions for numerical equivalence and similarities of some estimators are...

In this paper a new instrument for monetary policy shocks is presented. Exogenous variation of the policy rate may come from frictions of collective decision-making. Dissenting votes indicate how far the final decision of the decision making body is from the mean of the members' individually...

This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy...

This paper investigates which shocks drive asynchrony of business cycles in the euro area. Thereby, it unites two strands of literature, those on common features and on structural VAR analysis. In particular, we show that the presence of a common cycle implies collinearity of structural impulse...

There is evidence that estimates of long-run impulse responses of structural vector autoregressive (VAR) models based on long-run identifying restrictions may not be very accurate. This finding suggests that using short-run identifying restrictions may be preferable. We compare structural VAR...

We study estimation and inference in panel data regression models when the regressors of interest are macro shocks, which speaks to a large empirical literature that targets impulse responses via local projections. Our results hold under general dynamics and are uniformly valid over the degree...

This paper re-examines the role of real supply shocks in international business cycles. In contrast to previous studies, we extend the concept of supply shocks beyond the productivity shock towards labor supply shocks. Our analysis simultaneously identifies five real and nominal disturbances in...

This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural vector autoregressive (SVAR) model claiming to distinguish fundamental and non-fundamental shocks to real stock prices. TheSVAR model relies on an identification restriction in...

Steinsson (2008) shows that real shocks that affect the New Keynesian Phillips curve explain the behavior of the real exchange rate in a sticky-price business cycle model. This paper reveals that these shocks are important for the volatility of the real exchange rate in the data. In a structural...

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...