Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77973
Authors: 
Kliem, Martin
Kriwoluzky, Alexander
Year of Publication: 
2013
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 23/2013
Abstract: 
Structural VAR studies disagree with narrative accounts about the history of monetary policy disturbances. We investigate whether employing the narrative monetary shock account as a proxy variable in a VAR model aligns both shock series. We quantify the extent to which the disagreement still applies and identify two explanations for the disagreement. One explanation is measurement error in the narrative time series, another is a misspecification of the VAR model.
Subjects: 
vector autoregression model
monetary policy shocks
narrative identification
JEL: 
E31
E32
E52
ISBN: 
978-3-86558-928-6
Document Type: 
Working Paper

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