A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy
Atsushi Inoue () and
Quantitative Economics, 2021, vol. 12, issue 4, 1085-1138
We propose a new approach to analyze economic shocks. Our new procedure identifies economic shocks as exogenous shifts in a function; hence, we call them “functional shocks.” We show how to identify such shocks and how to trace their effects in the economy via VARs using “VARs with functional shocks” and “functional local projections.” Using our new procedure, we address the crucial question of studying the effects of monetary policy by identifying monetary policy shocks as shifts in the whole term structure of government bond yields in a narrow window of time around monetary policy announcements. Our approach sheds new light on the effects of monetary policy shocks, both in conventional and unconventional periods, and shows that traditional identification procedures may miss important effects. Our new procedure has the advantage of identifying monetary policy shocks during both conventional and unconventional monetary policy periods in a unified manner and can be applied more generally to other economic shocks.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Working Paper: A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy (2021)
Working Paper: A New Approach to Measuring Economic Policy Shocks, with an Application to Conventional and Unconventional Monetary Policy (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:quante:v:12:y:2021:i:4:p:1085-1138
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in Quantitative Economics from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().