Measuring Monetary Policy in the Euro Area Using SVARs with Residual Restrictions

• 成果类型: Article
• 署名作者: Badinger, Harald; Schiman, Stefan
• 署名单位: Vienna University of Economics & Business
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20210035
• 发表日期: 2023
• 页码: 279-305
• 关键词: identification; shocks; INFORMATION; news

摘要

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 mac-roeconomic variables.