Schlaak, Thore; Rieth, Malte; Podstawski, Maximilian - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 161-200
We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing the relevance and exogeneity condition...
