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
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978-3-86558-928-6
- Language
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Englisch
- Bibliographic citation
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Series: Bundesbank Discussion Paper ; No. 23/2013
- Classification
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Wirtschaft
Price Level; Inflation; Deflation
Business Fluctuations; Cycles
Monetary Policy
- Subject
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vector autoregression model
monetary policy shocks
narrative identification
- Event
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Geistige Schöpfung
- (who)
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Kliem, Martin
Kriwoluzky, Alexander
- Event
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Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
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2013
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
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