Monetary Policy Shocks for Sweden

Josefin Kilman ()
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Josefin Kilman: Department of Economics, Lund University, Postal: School of Economics and Management, Box 7080, S-220 07 Lund, Sweden

No 2022:18, Working Papers from Lund University, Department of Economics

Abstract: This paper estimates monetary policy shocks for Sweden between 1996-2019. I employ the Romer and Romer (2004) (R&R) approach and use annual forecasts of output growth and inflation to estimate monetary policy shocks. I complement the analysis with shocks from a recursive VAR including output, prices, and the repo rate, as well as a set of high-frequency shocks. A comparison of the three sets of shocks shows that the R&R and VAR shocks are similar, while the high-frequency shocks are fewer and smaller in size. Local projections show expected impulse responses on most economic variables, regardless of data frequency, but responses to the recursive VAR shocks are more in line with textbook findings compared to responses to the R&R and high-frequency shocks. Overall, results are robust to alternative model specifications and lag lengths in local projections.

Keywords: Monetary policy; monetary policy shocks; vector autoregression; local projections (search for similar items in EconPapers)
JEL-codes: C22 C32 E32 E43 E52 E58 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2022-09-15
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:lunewp:2022_018

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