Same, but Different? Testing Monetary Policy Shock Measures

Aufsätze referiert extern - Web of Science

Stephanie Ettmeier, Alexander Kriwoluzky

In: Economics Letters 184 (2019), 108640, 5 S.


In this study, we determine the reliability and exogeneity of four popular monetary policy shock measures, namely the narrative series of Romer and Romer (2004), the high-frequency series of Barakchian and Crowe (2013), the high-frequency series of Gertler and Karadi (2015), and the hybrid series of Miranda-Agrippino and Ricco (2018b). To this end, we employ the Proxy-SVAR model and different empirical diagnostic tools to determine the shock measures’ information content. We find that the measure of Miranda-Agrippino and Ricco (2018b), combining the insights from the narrative approach and high-frequency identification, outperforms the other three series.

Stephanie Ettmeier

Research Associate in the Macroeconomics Department

Alexander Kriwoluzky

Head of Department in the Macroeconomics Department

JEL-Classification: C12;C32;E32;E52
Keywords: Identification with external instruments, Monetary policy shock measures, Proxy-SVAR