Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/181034 
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Title: 

Monetary policy, external instruments and heteroskedasticity

The document was removed on behalf of the author(s)/ the editor(s).

Year of Publication: 
2018
Series/Report no.: 
DIW Discussion Papers No. 1749
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Abstract: 
We develop a vector autoregressive framework for combining the information in an external instrument with the information in the second moments of the data to identify latent monetary shocks in the United States. We show that the framework improves the identification of the structural model and allows testing the validity of instruments proposed in the literature. Using a valid instrument, we then document that surprise monetary contractions lead to a medium-sized significant decline in economic activity, that the contractionary effect is also present during the great moderation, and that the role of monetary shocks in driving real and financial fluctuations is small in low and big in high volatility regimes.
Subjects: 
monetary policy
structural vector autoregressions
identification with external instruments
heteroskedasticity
Markov switching
JEL: 
E52
C32
E58
E32
Document Type: 
Working Paper

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The document was removed on behalf of the author(s)/ the editor(s) on: August 6, 2019


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