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Do SVARs with sign restrictions not identify unconventional monetary policy shocks?

Author

Listed:
  • Jef Boeckx
  • Maarten Dossche
  • Alessandro Galesi
  • Boris Hofmann
  • Gert Peersman

Abstract

A growing empirical literature has shown, based on structural vector autoregressions (SVARs) identified through sign restrictions, that unconventional monetary policies implemented after the outbreak of the Great Financial Crisis (GFC) had expansionary macroeconomic effects. In a recent paper, Elbourne and Ji (2019) conclude that these studies fail to identify true unconventional monetary policy shocks in the euro area. In this note, we show that their findings are actually fully consistent with a successful identification of unconventional monetary policy shocks by the earlier studies and that their approach does not serve the purpose of evaluating identification strategies of SVARs.

Suggested Citation

  • Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019. "Do SVARs with sign restrictions not identify unconventional monetary policy shocks?," BIS Working Papers 788, Bank for International Settlements.
  • Handle: RePEc:bis:biswps:788
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    5. Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019. "Do SVARs with sign restrictions not identify unconventional monetary policy shocks?," Working Papers 1926, Banco de España.
    6. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
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    10. Hesse, Henning & Hofmann, Boris & Weber, James Michael, 2018. "The macroeconomic effects of asset purchases revisited," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 115-138.
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    16. Adam Elbourne & Kan Ji, 2019. "Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?," CPB Discussion Paper 391, CPB Netherlands Bureau for Economic Policy Analysis.
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    19. Giancarlo Corsetti & Joao B Duarte & Samuel Mann, 2022. "One Money, Many Markets [Fixed Rate Versus Adjustable Rate Mortgages: Evidence from Euro Area Banks]," Journal of the European Economic Association, European Economic Association, vol. 20(1), pages 513-548.
    20. Weale, Martin & Wieladek, Tomasz, 2016. "What are the macroeconomic effects of asset purchases?," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 81-93.
    21. Jef Boeckx & Maarten Dossche & Gert Peersman, 2017. "Effectiveness and Transmission of the ECB's Balance Sheet Policies," International Journal of Central Banking, International Journal of Central Banking, vol. 13(1), pages 297-333, February.
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    24. Leonardo Gambacorta & Boris Hofmann & Gert Peersman, 2014. "The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 615-642, June.
    25. Lewis, Vivien & Roth, Markus, 2019. "The financial market effects of the ECB's asset purchase programs," Journal of Financial Stability, Elsevier, vol. 43(C), pages 40-52.
    26. Adam Elbourne & Kan Ji, 2019. "Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?," CPB Discussion Paper 391.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy: Identification through the yield curve," Bank of Finland Research Discussion Papers 3/2020, Bank of Finland.
    2. Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019. "Do SVARs with sign restrictions not identify unconventional monetary policy shocks?," Working Papers 1926, Banco de España.
    3. Jamilu Iliyasu & Aliyu Rafindadi Sanusi, 2023. "The role of announced exchange rate policies on exchange rate pass-through to consumer prices in an oil-based small open economy," SN Business & Economics, Springer, vol. 3(1), pages 1-20, January.
    4. Mr. Jiro Honda & Hiroaki Miyamoto & Mina Taniguchi, 2020. "Exploring the Output Effect of Fiscal Policy Shocks in Low Income Countries," IMF Working Papers 2020/012, International Monetary Fund.
    5. Nikolay Hristov & Oliver Hülsewig & Johann Scharler, 2021. "Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus," International Journal of Central Banking, International Journal of Central Banking, vol. 17(3), pages 337-383, September.
    6. Francisco Serranito & Philipp RODERWEIS & Jamel Saadaoui, 2023. "Is Quantitative Easing Productive? The Role of Bank Lending in the Monetary Transmission Process," EconomiX Working Papers 2023-17, University of Paris Nanterre, EconomiX.
    7. Gan‐Ochir Doojav & Davaasukh Damdinjav, 2023. "The macroeconomic effects of unconventional monetary policies in a commodity‐exporting economy: Evidence from Mongolia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4627-4654, October.
    8. Adam Elbourne, 2019. "SVARs, the central bank balance sheet and the effects of unconventional monetary policy in the euro area," CPB Discussion Paper 407.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    9. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy : identification through the yield curve," Research Discussion Papers 3/2020, Bank of Finland.
    10. repec:zbw:bofrdp:2020_003 is not listed on IDEAS
    11. Boris Hofmann & Anamaria Illes & Marco Jacopo Lombardi & Paul Mizen, 2020. "The impact of unconventional monetary policies on retail lending and deposit rates in the euro area," BIS Working Papers 850, Bank for International Settlements.
    12. Adam Elbourne, 2019. "SVARs, the central bank balance sheet and the effects of unconventional monetary policy in the euro area," CPB Discussion Paper 407, CPB Netherlands Bureau for Economic Policy Analysis.
    13. de Bondt, Gabe J. & Hahn, Elke & Zekaite, Zivile, 2021. "ALICE: Composite leading indicators for euro area inflation cycles," International Journal of Forecasting, Elsevier, vol. 37(2), pages 687-707.
    14. Brandt, Lennart & Saint Guilhem, Arthur & Schröder, Maximilian & Van Robays, Ine, 2021. "What drives euro area financial market developments? The role of US spillovers and global risk," Working Paper Series 2560, European Central Bank.
    15. Lhuissier Stéphane & Nguyen Benoît, 2021. "The Dynamic Effects of the ECB’s Asset Purchases: a Survey-Based Identification," Working papers 806, Banque de France.

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    More about this item

    Keywords

    unconventional monetary policy; SVARs; shock identification;
    All these keywords.

    JEL classification:

    • 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
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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