Arbeitspapier

Reconciling narrative monetary policy disturbances with structural VAR model shocks?

Structural VAR studies disagree with narrative accounts about the history of monetary policy disturbances. We investigate whether employing the narrative monetary shock account as a proxy variable in a VAR model aligns both shock series. We quantify the extent to which the disagreement still applies and identify two explanations for the disagreement. One explanation is measurement error in the narrative time series, another is a misspecification of the VAR model.

ISBN
978-3-86558-928-6
Language
Englisch

Bibliographic citation
Series: Bundesbank Discussion Paper ; No. 23/2013

Classification
Wirtschaft
Price Level; Inflation; Deflation
Business Fluctuations; Cycles
Monetary Policy
Subject
vector autoregression model
monetary policy shocks
narrative identification

Event
Geistige Schöpfung
(who)
Kliem, Martin
Kriwoluzky, Alexander
Event
Veröffentlichung
(who)
Deutsche Bundesbank
(where)
Frankfurt a. M.
(when)
2013

Handle
Last update
10.03.2025, 11:44 AM CET

Data provider

This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Object type

  • Arbeitspapier

Associated

  • Kliem, Martin
  • Kriwoluzky, Alexander
  • Deutsche Bundesbank

Time of origin

  • 2013

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