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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 shock account as a proxy variable in a VAR model aligns both shock series. We quantify the extent to which the disagreement still applies and identify two explanations for the disagreement. One explanation is measurement error in the narrative time series, another is a misspecification of the VAR model.

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Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Papers with number 23/2013.

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Date of creation: 2013
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Handle: RePEc:zbw:bubdps:232013
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