The narrative approach for the identification of monetary policy shocks in small open economies
This paper reviews 22 years of UK monetary policy (1971-1992) using official record from the Quarterly Bulletin of the Bank of England. A definition of policy shocks, which allows for the exclusion of cases of interest rate increases, which were unrelated to the monetary policy objectives, is used. The empirical analysis shows that output displays the usual hump-shaped response after a shock to the policy indicator but adjustment to pre-shock levels is slow. Other variables also display theory-consistent behaviour. Based on this policy indicator monetary policy is found to cause very limited output fluctuation in a four year horizon. The policy indicator is found to outperform the intervention rate as a measure of policy
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- Christina D. Romer & David H. Romer, 1989.
"Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz,"
in: NBER Macroeconomics Annual 1989, Volume 4, pages 121-184
National Bureau of Economic Research, Inc.
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- Christina D. Romer and David H. Romer., 1989. "Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz," Economics Working Papers 89-107, University of California at Berkeley.
- Christina D. Romer & David H. Romer, 1989. "Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz," NBER Working Papers 2966, National Bureau of Economic Research, Inc.
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- Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 561-586, June.
- Christina D. Romer & David H. Romer, 2004.
"A New Measure of Monetary Shocks: Derivation and Implications,"
American Economic Review,
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- Christina D. Romer & David H. Romer, 2003. "A New Measure of Monetary Shocks: Derivation and Implications," NBER Working Papers 9866, National Bureau of Economic Research, Inc.
- repec:tpr:qjecon:v:110:y:1995:i:4:p:975-1009 is not listed on IDEAS
- repec:tpr:qjecon:v:92:y:1978:i:3:p:525-34 is not listed on IDEAS
- Ho-Chuan (River) Huang & Chung-Hua Shen, 2002. "Estimation of Taiwan’s binary monetary policy reaction function," Journal of Economic Studies, Emerald Group Publishing, vol. 29(3), pages 222-239, September.
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