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A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy

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dc.contributor.author Inoue, Atsushi
dc.contributor.author Rossi, Barbara, 1971-
dc.date.accessioned 2021-09-07T12:11:37Z
dc.date.available 2021-09-07T12:11:37Z
dc.date.issued 2021-04
dc.identifier.uri http://hdl.handle.net/10230/48404
dc.description.abstract We propose a new approach to analyze economic shocks. Our new procedure identi es economic shocks as exogenous shifts in a function; hence, we call them "functional shocks". We show how to identify such shocks and how to trace their e¤ects in the economy via VARs using "VARs with functional shocks" and "functional local projections". Using our new procedure, we address the crucial question of studying the e¤ects of monetary policy by identifying monetary policy shocks as shifts in the whole term structure of government bond yields in a narrow window of time around monetary policy announcements. Our approach sheds new light on the e¤ects of monetary policy shocks, both in conventional and unconventional periods, and shows that traditional identifcation procedures may miss important e¤ects. Our new procedure has the advantage of identifying monetary policy shocks during both conventional and unconventional monetary policy periods in a unifed manner and can be applied more generally to other economic shocks.
dc.format.mimetype application/pdf
dc.language eng
dc.language.iso eng
dc.subject.other Identification
dc.subject.other VARs
dc.subject.other Zero lower bound
dc.subject.other Unconventional monetary policy
dc.title A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy
dc.type info:eu-repo/semantics/workingPaper
dc.rights.accessRights info:eu-repo/semantics/openAccess
dc.type.version info:eu-repo/semantics/draft

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