Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/273648 
Authors: 
Year of Publication: 
2022
Series/Report no.: 
Working Paper No. 2022:18
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
This paper estimates monetary policy shocks for Sweden between 1996-2019. I employ the Romer and Romer (2004) (R&R) approach and use annual forecasts of output growth and inflation to estimate monetary policy shocks. I complement the analysis with shocks from a recursive VAR including output, prices, and the repo rate, as well as a set of high-frequency shocks. A comparison of the three sets of shocks shows that the R&R and VAR shocks are similar, while the high-frequency shocks are fewer and smaller in size. Local projections show expected impulse responses on most economic variables, regardless of data frequency, but responses to the recursive VAR shocks are more in line with textbook findings compared to responses to the R&R and high-frequency shocks. Overall, results are robust to alternative model specifications and lag lengths in local projections.
Subjects: 
Monetary policy
monetary policy shocks
vector autoregression
local projections
JEL: 
C22
C32
E32
E43
E52
E58
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.