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Reconciling narrative monetary policy disturbances with structural VAR model shocks?

  • Kliem, Martin
  • Kriwoluzky, Alexander

Structural VAR studies disagree with narrative accounts about the history of monetary policy disturbances. We investigate whether employing the narrative monetary shocks as a proxy variable in a VAR model aligns both shock series. We find that it does not.

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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 121 (2013)
Issue (Month): 2 ()
Pages: 247-251

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Handle: RePEc:eee:ecolet:v:121:y:2013:i:2:p:247-251
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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