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

by Jef Boeckx, Maarten Dossche, Alessandro Galesi, Boris Hofmann and Gert Peersman

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.

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Year of publication:	Juni 2019
Authors:	Boeckx, Jef ; Dossche, Maarten ; Galesi, Alessandro ; Hofmann, Boris ; Peersman, Gert
Publisher:	Brussels : National Bank of Belgium
Subject:	Non-standard measures \| structural VAR \| identification \| ECB \| Geldpolitik \| Monetary policy \| VAR-Modell \| VAR model \| Schock \| Shock \| Wirkungsanalyse \| Impact assessment \| Niedrigzinspolitik \| Low-interest-rate policy \| EU-Staaten \| EU countries \| Zinspolitik \| Interest rate policy \| Eurozone \| Euro area