Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/334602 
Year of Publication: 
2025
Series/Report no.: 
CESifo Working Paper No. 12246
Publisher: 
Munich Society for the Promotion of Economic Research - CESifo GmbH, Munich
Abstract: 
Imposing restrictions on policy rule coefficients in vector autoregressive (VAR) models enhances the identification of monetary policy shocks obtained with sign and narrative restrictions. Monte Carlo simulations and empirical analyses for the United States and the Euro area support this result. For the U.S., adding policy coefficient restrictions yields a larger and more precise short-run output response and more stable Phillips multiplier estimates. Heterogeneity in output responses reflects variation in systematic policy reactions to output. In the Euro area, policy coefficient restrictions sharpen the identification of corporate bond spread responses to monetary policy shocks.
Subjects: 
monetary policy shocks
narrative restrictions
policy coefficient restrictions
vector autoregressive models
Monte Carlo simulations
DSGE models
JEL: 
C32
E32
E52
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





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