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wisdom about the effects of monetary policy shock. …
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performance. This study traces how a shock or an unanticipated change in the anchor country's central bank's policy instrument, in … Vector Autoregressive model (Panel-SVAR) and annual data from 1980-2021, the findings show that a positive shock in the repo … shock in the anchor country's repo rate is followed by a significant decline in RGDP_G, a decrease in inflation, a decrease …
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We propose a two-step approach to estimate multi-dimensional monetary policy shocks and their causal effects requiring only daily financial market data and policy events. First, we combine a heteroscedasticity-based identification scheme with recursive zero restrictions along the term structure...
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