Reconciling narrative monetary policy disturbances with structural VAR model shocks?
Martin Kliem () and
Economics Letters, 2013, vol. 121, issue 2, 247-251
Structural VAR studies disagree with narrative accounts about the history of monetary policy disturbances. We investigate whether employing the narrative monetary shocks as a proxy variable in a VAR model aligns both shock series. We find that it does not.
Keywords: Vector autoregression model; Monetary policy shocks; Narrative identification (search for similar items in EconPapers)
JEL-codes: E31 E32 E52 (search for similar items in EconPapers)
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Working Paper: Reconciling narrative monetary policy disturbances with structural VAR model shocks? (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:2:p:247-251
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