 Monetary policy and information shocks in a block-recursive SVARSascha A. Keweloh, Stephan Hetzenecker and Andre Seepe Journal of International Money and Finance, 2023, vol. 137, issue C Abstract: This study introduces a new estimator that combines block-recursive restrictions with higher-order moment conditions and non-Gaussian shocks. The proposed estimator improves the accuracy of the estimation, simplifies labeling, and allows for relaxing the independence and non-Gaussianity assumptions in comparison to a purely data-driven approach. We use the approach to disentangle the interaction of stock prices and interest rates into monetary policy and stock market information shocks. We find that traditional monetary policy shocks move interest rates and stock prices in opposite directions, whereas information shocks move both variables in the same direction. Moreover, we utilize high-frequency data from FOMC announcements to derive a proxy for central bank information shocks and show that these shocks are statistically relevant for the low-frequency stock market information shock. Keywords: Identification; Non-Gaussian; Information shocks; Stock market; Monetary policy (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000931 DOI: 10.1016/j.jimonfin.2023.102892 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
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