Reconciling narrative monetary policy disturbances with structural VAR model shocks?

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.

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Year of publication:	2013
Authors:	Kliem, Martin ; Kriwoluzky, Alexander
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 2, p. 247-251
Publisher:	Elsevier
Subject:	Vector autoregression model \| Monetary policy shocks \| Narrative identification

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Type of publication:	Article
Classification:	E31 - Price Level; Inflation; Deflation ; E32 - Business Fluctuations; Cycles ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010709086