Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/228231
Authors: 
Budnik, Katarzyna
Rünstler, Gerhard
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2353
Abstract: 
We study the identification of policy shocks in Bayesian proxy VARs for the case that the instrument consists of sparse qualitative observations indicating the signs of certain shocks. We propose two identification schemes, i.e. linear discriminant analysis and a non-parametric sign concordance criterion. Monte Carlo simulations suggest that these provide more accurate confidence bounds than standard proxy VARs and are more efficient than local projections. Our application to U.S. macroprudential policies finds persistent effects of capital re- quirements and mortgage underwriting standards on credit volumes and house prices together with moderate effects on GDP and in ation.
Subjects: 
Bayesian Proxy VAR
Discriminant Analysis
Sign Concordance
Capital Requirements
Mortgage Underwriting Standards
JEL: 
C32
E44
G38
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3996-6
Document Type: 
Working Paper

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