Arbeitspapier

Same, but different: Testing monetary policy shock measures

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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.

Sprache
Englisch

Erschienen in
Series: IWH Discussion Papers ; No. 9/2017

Klassifikation
Wirtschaft
Hypothesis Testing: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
Monetary Policy
Thema
monetary policy shock measures
Proxy-SVAR
weak proxies
F-test

Ereignis
Geistige Schöpfung
(wer)
Ettmeier, Stephanie
Kriwoluzky, Alexander
Ereignis
Veröffentlichung
(wer)
Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
(wo)
Halle (Saale)
(wann)
2017

Handle
URN
urn:nbn:de:gbv:3:2-71302
Letzte Aktualisierung
10.03.2025, 11:41 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.
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Ettmeier, Stephanie
  • Kriwoluzky, Alexander
  • Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

Entstanden

  • 2017

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