Do SVARs with sign restrictions not identify unconventional monetary policy shocks?

Arbeitspapier

A growing empirical literature has shown, based on structural vector autoregressions (SVARs) identified through sign restrictions, that unconventional monetary policies implemented after the outbreak of the Great Financial Crisis (GFC) had expansionary macroeconomic effects. In a recent paper, Elbourne and Ji (2019) conclude that these studies fail to identify true unconventional monetary policy shocks in the euro area. In this note, we show that their findings are actually fully consistent with a successful identification of unconventional monetary policy shocks by the earlier studies and that their approach does not serve the purpose of evaluating identification strategies of SVARs.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: NBB Working Paper ; No. 372

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Central Banks and Their Policies
• Subject: Non-standard measures ; structural VAR ; identification ; ECB

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Boeckx, Jef ; Dossche, Maarten ; Galesi, Alessandro ; Hofmann, Boris ; Peersman, Gert
• Event: Veröffentlichung
• (who): National Bank of Belgium
• (where): Brussels
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/207752
• Last update: 10.03.2025, 11:41 AM CET