Same, but different? Testing monetary policy shock measures

Abstract

In this study, we determine the reliability and exogeneity of popular monetary policy shock measures, including the narrative series of Romer and Romer (2004), the high-frequency series of Barakchian and Crowe (2013), and the high-frequency series of Gertler and Karadi (2015). To this end, we employ 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. [web:313][web:315]

Citation

Ettmeier, Stephanie, and Alexander Kriwoluzky (2019). “Same, but Different? Testing Monetary Policy Shock Measures.” Economics Letters 184: 108655.

@article{EK2019,
title = {Same, but different? Testing monetary policy shock measures},
author = {Stephanie Ettmeier and Alexander Kriwoluzky},
journal = {Economics Letters},
volume = {184},
pages = {108640},
year = {2019},
issn = {0165-1765},
doi = {https://doi.org/10.1016/j.econlet.2019.108640},
keywords = {Identification with external instruments, Monetary policy shock measures, Proxy-SVAR},
}