Vintage Article: The Effect of Monetary Policy Shocks in the United Kingdom: an External Instruments Approach

Francesco Zanetti, Christoph Görtz, Wei Li and John Tsoukalas
Authors registered in the RePEc Author Service: Christoph G. Görtz

No 812, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: This paper uses VAR analysis to identify monetary policy shocks on U.K. data using surprise changes in the policy rate as external instruments and imposing block exogeneity restrictions on domestic variables to estimate parameters from the viewpoint of the domestic economy. The results show large and persistent effects of monetary policy shocks on the domestic economy and point to the critical role of exchange rates and term premia. The analysis resolves important empirical puzzles of traditional recursive identification methods. Revised September 2020

Keywords: Monetary Policy Transmission; Structural VAR; Small Open Economy; External Instruments Identification (search for similar items in EconPapers)
JEL-codes: E44 E52 F41 (search for similar items in EconPapers)
Date: 2020-09-27
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:oxf:wpaper:812

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