American Economic Journal: Macroeconomics
no. 2, April 2023
This study measures the effects of monetary policy in the euro area using a small number of sign and magnitude restrictions on the residuals of a structural vector autoregression. We derive the dates and directions of these shocks from high-frequency financial market data around official European Central Bank policy announcements. Based on an in-depth narrative analysis and a comparison of the results with those of a standard high-frequency approach, we argue that our approach is purged from central bank information effects. Despite our rather agnostic identification strategy, we find clear and conclusive effects of monetary policy shocks on a wide range of macroeconomic variables.
Badinger, Harald, and Stefan Schiman.
"Measuring Monetary Policy in the Euro Area Using SVARs with Residual Restrictions."
American Economic Journal: Macroeconomics,
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
Central Banks and Their Policies
International Monetary Arrangements and Institutions
Information and Market Efficiency; Event Studies; Insider Trading