Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148054
Authors: 
Uhrin, Gábor B.
Herwartz, Helmut
Year of Publication: 
2016
Series/Report no.: 
Discussion Papers, Center for European, Governance and Economic Development Research 295
Abstract: 
A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on this issue by augmenting a monetary SVAR for US data with an asset price index, using set-identifying structural restrictions. The impulse responses show a positive asset price response to a contractionary monetary policy shock. The resulting monetary policy shocks correlate weakly with the Romer and Romer (2004) (RR) shocks, which matters greatly when analyzing impulse responses. Considering only models with shocks highly correlated with the RR series uncovers a negative, but near-zero response of asset prices.
Subjects: 
monetary policy shocks
asset prices
sign restrictions
zero restrictions
set identification
structural VAR models
JEL: 
C32
E44
E52
Document Type: 
Working Paper

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