Replication Codes for: SVAR (Mis-)Identification and the Real Effects of Monetary Policy Shocks
Principal Investigator(s): View help for Principal Investigator(s) Christian K. Wolf, Princeton University
Version: View help for Version V1
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| AEJM_Replication | 11/24/2019 10:28:PM | ||
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application/pdf | 161.3 KB | 11/02/2019 08:23:AM |
Project Citation:
Wolf, Christian K. Replication Codes for: SVAR (Mis-)Identification and the Real Effects of Monetary Policy Shocks. Nashville, TN: American Economic Association [publisher], 2020. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2020-09-28. https://doi.org/10.3886/E115281V1
Project Description
Summary:
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I argue that the seemingly disparate findings of the recent empirical literature on monetary policy transmission are all consistent with the same standard macro models. Weak sign restrictions, which suggest that contractionary monetary policy if anything boosts output, present as policy shocks what actually are expansionary demand and supply shocks. Classical zero restrictions are robust to such misidentification, but miss short-horizon effects. Two recent approaches - restrictions on Taylor rules and external instruments - instead work well. My findings suggest that empirical evidence is consistent with models in which the real effects of monetary policy are larger than commonly estimated.
Scope of Project
Subject Terms:
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monetary policy;
sign restrictions;
zero restrictions;
Haar prior;
external instruments;
invertibility
JEL Classification:
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C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
E32 Business Fluctuations; Cycles
E52 Monetary Policy
C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
E32 Business Fluctuations; Cycles
E52 Monetary Policy
Data Type(s):
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program source code
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