Measuring monetary policy in the Euro Area using SVARs with residual restrictions Harald Badinger and Stefan Schiman
By: Badinger, Harald
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Contributor(s): Schiman, Stefan.
Material type: 
ArticleSubject(s): POLITICA MONETARIA | EURO | UNION ECONOMICA Y MONETARIA | BANCO CENTRAL EUROPEO | MERCADOS FINANCIEROS | ANALISIS MACROECONOMICO
In:
American Economic Journal : Macroeconomics v. 15, n. 2, April 2023, p. 279-305Summary: This study measures the effects of monetary policy in the euro area using a small number of sign and magnitude restrictions on the residuals of a structural vector autoregression. We derive the dates and directions of these shocks from high-frequency financial market data around official European Central Bank policy announcements. Based on an in-depth narrative analysis and a comparison of the results with those of a standard high-frequency approach, we argue that our approach is purged from central bank information effects. Despite our rather agnostic identification strategy, we find clear and conclusive effects of monetary policy shocks on a wide range of macroeconomic variables.
| Item type | Current location | Home library | Call number | Status | Date due | Barcode |
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| Artículos | IEF | IEF | OP 2137/2023/2-3 (Browse shelf) | Available | OP 2137/2023/2-3 |
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Bibliografía.
This study measures the effects of monetary policy in the euro area using a small number of sign and magnitude restrictions on the residuals of a structural vector autoregression. We derive the dates and directions of these shocks from high-frequency financial market data around official European Central Bank policy announcements. Based on an in-depth narrative analysis and a comparison of the results with those of a standard high-frequency approach, we argue that our approach is purged from central bank information effects. Despite our rather agnostic identification strategy, we find clear and conclusive effects of monetary policy shocks on a wide range of macroeconomic variables.
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