Same, but different: Testing monetary policy shock measures
Stephanie Ettmeier and
No 9/2017, IWH Discussion Papers from Halle Institute for Economic Research (IWH)
In this study, we test whether three popular measures for monetary policy, that is, Romer and Romer (2004), Barakchian and Crowe (2013), and Gertler and Karadi (2015), constitute suitable proxy variables for monetary policy shocks. To this end, we employ different test statistics used in the literature to detect weak proxy variables. We find that the measure derived by Gertler and Karadi (2015) is the most suitable in this regard.
Keywords: monetary policy shock measures; Proxy-SVAR; weak proxies; F-test (search for similar items in EconPapers)
JEL-codes: C12 C32 E32 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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Journal Article: Same, but different? Testing monetary policy shock measures (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwhdps:92017
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