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Same, but different? Testing monetary policy shock measures

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  • Ettmeier, Stephanie
  • Kriwoluzky, Alexander

Abstract

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.

Suggested Citation

  • Ettmeier, Stephanie & Kriwoluzky, Alexander, 2019. "Same, but different? Testing monetary policy shock measures," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 184.
    • Handle: RePEc:zbw:espost:237663
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    References listed on IDEAS

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    Cited by:

    1. Pizzuto, Pietro, 2020. "Regional effects of monetary policy in the U.S.: An empirical re-assessment," Economics Letters, Elsevier, vol. 190(C).

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    More about this item

    Keywords

    Identification with external instruments; Monetary policy shock measures; Proxy-SVAR;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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