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Same, but different? Testing monetary policy shock measures

Stephanie Ettmeier and Alexander Kriwoluzky

EconStor Open Access Articles and Book Chapters, 2019

Abstract: In this study, we determine the reliability and exogeneity of four popular monetary policy shock measures, namely the narrative series of Romer and Romer (2004), the high-frequency series of Barakchian and Crowe (2013), the high-frequency series of Gertler and Karadi (2015), and the hybrid series of Miranda-Agrippino and Ricco (2018b). To this end, we employ the Proxy-SVAR model and different empirical diagnostic tools to determine the shock measures’ information content. We find that the measure of Miranda-Agrippino and Ricco (2018b), combining the insights from the narrative approach and high-frequency identification, outperforms the other three series.

Keywords: Identification with external instruments; Monetary policy shock measures; Proxy-SVAR (search for similar items in EconPapers)
JEL-codes: C12 C32 E32 E52 (search for similar items in EconPapers)
Date: 2019
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Journal Article: Same, but different? Testing monetary policy shock measures (2019) Downloads
Working Paper: Same, but different: Testing monetary policy shock measures (2017) Downloads
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