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Reconciling narrative monetary policy disturbances with structural VAR model shocks?

Martin Kliem () and Alexander Kriwoluzky

Economics Letters, 2013, vol. 121, issue 2, 247-251

Abstract: 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)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:2:p:247-251

DOI: 10.1016/j.econlet.2013.08.006

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