Arbeitspapier
Monetary policy shocks, set-identifying restrictions, and asset prices: A benchmarking approach for analyzing set-identified models
A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on this issue by augmenting a monetary SVAR for US data with an asset price index, using set-identifying structural restrictions. The impulse responses show a positive asset price response to a contractionary monetary policy shock. The resulting monetary policy shocks correlate weakly with the Romer and Romer (2004) (RR) shocks, which matters greatly when analyzing impulse responses. Considering only models with shocks highly correlated with the RR series uncovers a negative, but near-zero response of asset prices.
- Sprache
-
Englisch
- Erschienen in
-
Series: cege Discussion Papers ; No. 295
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Markets and the Macroeconomy
Monetary Policy
- Thema
-
monetary policy shocks
asset prices
sign restrictions
zero restrictions
set identification
structural VAR models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Uhrin, Gábor B.
Herwartz, Helmut
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Göttingen, Center for European, Governance and Economic Development Research (cege)
- (wo)
-
Göttingen
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Uhrin, Gábor B.
- Herwartz, Helmut
- University of Göttingen, Center for European, Governance and Economic Development Research (cege)
Entstanden
- 2016
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