Reconciling narrative monetary policy disturbances with structural VAR model shocks?

Abstract

Structural VAR studies disagree with narrative accounts about the history of monetary policy disturbances. We investigate whether employing the narrative monetary shocks as a proxy variable in a VAR model aligns both shock series. We find that it does not.

Citation

Kliem, Martin, and Alexander Kriwoluzky (2013). “Reconciling narrative monetary policy disturbances with structural VAR model shocks?” Economics Letters 121(2): 247–251. [web:402][web:403]

@article{KK2013,
title = {Reconciling narrative monetary policy disturbances with structural VAR model shocks?},
author = {Martin Kliem and Alexander Kriwoluzky},
journal = {Economics Letters},
volume = {121},
number = {2},
pages = {247-251},
year = {2013},
issn = {0165-1765},
doi = {https://doi.org/10.1016/j.econlet.2013.08.006},
keywords = {Vector autoregression model, Monetary policy shocks, Narrative identification},
}