American Economic Journal:
Macroeconomics
ISSN 1945-7707 (Print) | ISSN 1945-7715 (Online)
Measuring Monetary Policy in the Euro Area Using SVARs with Residual Restrictions
American Economic Journal: Macroeconomics
vol. 15,
no. 2, April 2023
(pp. 279–305)
Abstract
This study measures the effects of monetary policy in the euro area using a small number of sign and magnitude restrictions on the residuals of a structural vector autoregression. We derive the dates and directions of these shocks from high-frequency financial market data around official European Central Bank policy announcements. Based on an in-depth narrative analysis and a comparison of the results with those of a standard high-frequency approach, we argue that our approach is purged from central bank information effects. Despite our rather agnostic identification strategy, we find clear and conclusive effects of monetary policy shocks on a wide range of macroeconomic variables.Citation
Badinger, Harald, and Stefan Schiman. 2023. "Measuring Monetary Policy in the Euro Area Using SVARs with Residual Restrictions." American Economic Journal: Macroeconomics, 15 (2): 279–305. DOI: 10.1257/mac.20210035Additional Materials
JEL Classification
- C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E43 Interest Rates: Determination, Term Structure, and Effects
- E44 Financial Markets and the Macroeconomy
- E52 Monetary Policy
- E58 Central Banks and Their Policies
- F33 International Monetary Arrangements and Institutions
- G14 Information and Market Efficiency; Event Studies; Insider Trading
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