Measuring Monetary Policy in the Euro Area Using SVARs with Residual Restrictions

Harald Badinger and Stefan Schiman

American Economic Journal: Macroeconomics, 2023, vol. 15, issue 2, 279-305

Abstract: 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.

JEL-codes: C32 E43 E44 E52 E58 F33 G14 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (9)

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DOI: 10.1257/mac.20210035

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