Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/156656
Authors: 
Ettmeier, Stephanie
Kriwoluzky, Alexander
Year of Publication: 
2017
Series/Report no.: 
IWH Discussion Papers 9/2017
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
Document Type: 
Working Paper

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