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Same, but different : testing monetary policy shock measures
Ettmeier, Stephanie; Kriwoluzky, Alexander - Leibniz-Institut für Wirtschaftsforschung Halle - 2017
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...
Persistent link: https://www.econbiz.de/10011630098
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Revisiting the macroeconomic effects of monetary policy shocks
Doko Tchatoka, Firmin; Haque, Qazi - 2021
Persistent link: https://www.econbiz.de/10012586492
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Unconventional monetary policy in the euro area : a tale of three shocks
Fanelli, Luca; Marsi, Antonio - 2021
these surprises reflect either a single unconventional 'monetary shock' or, as recently suggested, jointly an unconventional … monetary shock and a central bank 'information shock'. In this paper we show that monetary policy in the euro area after 2008 … is best characterized by three shocks, not two. Besides the unconventional monetary shock and the information shock, we …
Persistent link: https://www.econbiz.de/10012621320
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Revisiting the macroeconomic effects of monetary policy shocks
Doko Tchatoka, Firmin; Haque, Qazi - 2021
Persistent link: https://www.econbiz.de/10013270494
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Oil price shocks in real time
Gazzani, Andrea; Venditti, Fabrizio; Veronese, Giovanni - In: Journal of monetary economics 144 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10015071242
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Unsurprising shocks : information, premia, and the monetary transmission
Miranda-Agrippino, Silvia - 2016
Persistent link: https://www.econbiz.de/10011558218
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Identification with external instruments in structural VARs
Miranda-Agrippino, Silvia; Ricco, Giovanni - 2022
Persistent link: https://www.econbiz.de/10013199501
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Identification with external instruments in Structural VARs under partial invertibility
Miranda-Agrippino, Silvia; Ricco, Giovanni - 2018
Persistent link: https://www.econbiz.de/10012052046
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Monetary policy, external instruments and heteroskedasticity
Podstawski, Maximilian; Schlaak, Thore; Rieth, Malte - 2018
We develop a vector autoregressive framework for combining the information in an external instrument with the information in the second moments of the data to identify latent monetary shocks in the United States. We show that the framework improves the identification of the structural model and...
Persistent link: https://www.econbiz.de/10011880710
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Identification with external instruments in structuralvars under partial invertibility
Miranda-Agrippino, Silvia; Ricco, Giovanni - 2019 - Revised 5th July 2019
Persistent link: https://www.econbiz.de/10012170481