Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/156656
Year of Publication: 
2017
Series/Report no.: 
IWH Discussion Papers No. 9/2017
Publisher: 
Leibniz-Institut für Wirtschaftsforschung Halle (IWH), Halle (Saale)
Abstract: 
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.
Subjects: 
monetary policy shock measures
Proxy-SVAR
weak proxies
F-test
JEL: 
C12
C32
E32
E52
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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