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Autor:innen: 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Bundesbank Discussion Paper No. 08/2017
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
Dynamic factor models and external instrument identification are two recent advances in the empirical macroeconomic literature. This paper combines the two approaches in order to study the effects of monetary policy shocks. I use this novel framework to re-examine the effects found by Forni and Gambetti (2010, JME) in a recursively-identified DFM. Considering the fundamental differences between the identifying assumptions, the results are overall strikingly similar. Importantly, this finding stands in stark contrast to traditional VAR models, which yield decisively different results in the two identification schemes. This highlights the importance of using extended information sets to properly identify monetary policy shocks.
Schlagwörter: 
Monetary Policy
Dynamic Factor Models
External Instrument
High-Frequency Identification
JEL: 
C32
E32
E44
E52
F31
ISBN: 
978-3-95729-353-4
Dokumentart: 
Working Paper
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