Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/253575 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 12 [Issue:] 4 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2021 [Pages:] 1085-1138
Verlag: 
The Econometric Society, New Haven, CT
Zusammenfassung: 
We propose a new approach to analyze economic shocks. Our new procedure identifies 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 effects 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 effects 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 effects of monetary policy shocks, both in conventional and unconventional periods, and shows that traditional identification procedures may miss important effects. Our new procedure has the advantage of identifying monetary policy shocks during both conventional and unconventional monetary policy periods in a unified manner and can be applied more generally to other economic shocks.
Schlagwörter: 
Identification
VARs
zero lower bound
unconventional monetarypolicy
JEL: 
D1
E21
E4
E52
H31
I3
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