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Same, but different: Testing monetary policy shock measures

Listed author(s):
  • Ettmeier, Stephanie
  • Kriwoluzky, Alexander

In this study, we test whether three popular measures for monetary policy, that is, Romer and Romer (2004), Barakchian and Crowe (2013), and Gertler and Karadi (2015), constitute suitable proxy variables for monetary policy shocks. To this end, we employ different test statistics used in the literature to detect weak proxy variables. We find that the measure derived by Gertler and Karadi (2015) is the most suitable in this regard.

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File URL: https://www.econstor.eu/bitstream/10419/156656/1/883871610.pdf
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Paper provided by Halle Institute for Economic Research (IWH) in its series IWH Discussion Papers with number 9/2017.

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Date of creation: 2017
Handle: RePEc:zbw:iwhdps:92017
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  1. Evgenia Passari & Hélène Rey, 2015. "Financial Flows and the International Monetary System," Economic Journal, Royal Economic Society, vol. 0(584), pages 675-698, 05.
  2. Silvana Tenreyro & Gregory Thwaites, 2016. "Pushing on a String: US Monetary Policy Is Less Powerful in Recessions," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(4), pages 43-74, October.
  3. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
  4. Silvia Miranda-Agrippino, 2015. "Unsurprising Shocks: Information, Premia, and the Monetary Transmission," Discussion Papers 1613, Centre for Macroeconomics (CFM), revised Apr 2016.
  5. Pao-Lin Tien & Tara M. Sinclair & Edward N. Gamber, 2015. "Do Fed Forecast Errors Matter?," Wesleyan Economics Working Papers 2015-004, Wesleyan University, Department of Economics.
  6. Lunsford, Kurt Graden, 2015. "Identifying Structural VARs with a Proxy Variable and a Test for a Weak Proxy," Working Paper 1528, Federal Reserve Bank of Cleveland.
  7. Miranda-Agrippino, Silvia & Rey, Hélène, 2015. "World Asset Markets and the Global Financial Cycle," CEPR Discussion Papers 10936, C.E.P.R. Discussion Papers.
  8. Georgiadis, Georgios, 2015. "To bi, or not to bi? Differences in spillover estimates from bilateral and multilateral multi-country models," Working Paper Series 1868, European Central Bank.
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