Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229109
Authors: 
Christoffel, Kai
De Groot, Oliver
Mazelis, Falk
Montes-Galdón, Carlos
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2495
Abstract: 
We estimate the effects of interest rate forward guidance (FG) using a parsimonious VAR, augmented with survey forecast data. The identification strategy of FG shocks via sign and zero restrictions is successfully tested by the recovery of true IRFs from simulated data. The identified shocks from the VAR suggest that FG has a stronger effect on macro variables and deviations are more instantaneous compared to the hump-shaped response following unanticipated changes in monetary policy. We apply this evidence to calibrate free parameters of an otherwise estimated DSGE model in order to dampen the FG Puzzle.
Subjects: 
Survey Forecasts
Bayesian VAR
Monetary Policy
Non-standard Measures
DSGE Models
JEL: 
C54
E43
E58
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4412-0
Document Type: 
Working Paper

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