Do SVARs with sign restrictions not identify unconventional monetary policy shocks?
Maarten Dossche (),
Alessandro Galesi (),
Boris Hofmann and
Gert Peersman ()
No 788, BIS Working Papers from Bank for International Settlements
A growing empirical literature has shown, based on structural vector autoregressions (SVARs) identified through sign restrictions, that unconventional monetary policies implemented after the outbreak of the Great Financial Crisis (GFC) had expansionary macroeconomic effects. In a recent paper, Elbourne and Ji (2019) conclude that these studies fail to identify true unconventional monetary policy shocks in the euro area. In this note, we show that their findings are actually fully consistent with a successful identification of unconventional monetary policy shocks by the earlier studies and that their approach does not serve the purpose of evaluating identification strategies of SVARs.
Keywords: unconventional monetary policy; SVARs; shock identification (search for similar items in EconPapers)
JEL-codes: C32 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Working Paper: Do SVARs with sign restrictions not identify unconventional monetary policy shocks? (2019)
Working Paper: Do SVARs with sign restrictions not identify unconventional monetary policy shocks ? (2019)
Working Paper: Do SVARs with Sign Restrictions Not Identify Unconventional Monetary Policy Shocks? (2019)
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