Identifying US Monetary Policy Shocks through Sign Restrictions in Dollarized Countries
Alessandro Gobbi and
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Alessandro Gobbi: Politecnico di Milano
No 11-145/2, Tinbergen Institute Discussion Papers from Tinbergen Institute
Since dollarized countries import US monetary policy, identifying US monetary shocks through sign restrictions on US variables only, does not use all available information. In this paper we therefore include dollarized countries,which enable us to restrict more variables and leave the responses of US output and prices unrestricted (to allow for the working capital view of monetary shocks). We find only little evidence for the latter in the US, as prices fall immediately after most contractionary shocks that we identify. Furthermore, monetary shocks do not seem to have a clear effect on real GDP.
Keywords: Monetary policy effects; Price puzzle; Structural VARs; Identification (search for similar items in EconPapers)
JEL-codes: E52 E31 C32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20110145
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