Same, but different : testing monetary policy shock measures

Stephanie Ettmeier, Alexander Kriwoluzky ; IWH, Halle Institute for Economic Research

In this study, we test whether three popular measures for monetary policy, that is, Romer and Romer (2004), Barakchian and Crowe (2013), and Gertler and Karadi (2015), constitute suitable proxy variables for monetary policy shocks. To this end, we employ different 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.

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Year of publication:	April 2017
Authors:	Ettmeier, Stephanie ; Kriwoluzky, Alexander
Institutions:	Leibniz-Institut für Wirtschaftsforschung Halle (issuing body)
Publisher:	Halle (Saale), Germany : Halle Institute for Economic Research (IWH)
Subject:	monetary policy shock measures \| Proxy-SVAR \| weak proxies \| F-test \| Geldpolitik \| Monetary policy \| Schock \| Shock \| Messung \| Measurement \| Schätzung \| Estimation \| Theorie \| Theory \| VAR-Modell \| VAR model