Decomposing the effects of monetary policy using an external instruments SVAR
نویسندگان
چکیده
منابع مشابه
Identification of Monetary Policy Shocks with External Instrument SVAR
We explore the use of external instrument SVAR to identify monetary policy shocks. We identify a forward guidance shock as the monetary shock component having zero instant impact on the policy rate. A contractionary forward guidance shock raises both future output and price level, stressing the relative importance of revealing policymakers’ view on future output and price level over committing ...
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We identify structural vector autoregressive (SVAR) models by combining sign restrictions with information in external instruments and proxy variables. We incorporate the proxy variables by augmenting the SVAR with equations that relate them to the structural shocks. Our modeling framework allows to simultaneously identify different shocks using either sign restrictions or an external instrumen...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2019
ISSN: 0883-7252,1099-1255
DOI: 10.1002/jae.2721