Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/237663 
Year of Publication: 
2019
Citation: 
[Journal:] Economics Letters [ISSN:] 0165-1765 [Volume:] 184 [Article No.:] 108640 [Publisher:] Elsevier [Place:] Amsterdam [Year:] 2019
Publisher: 
Elsevier, Amsterdam
Abstract: 
In this study, we determine the reliability and exogeneity of four popular monetary policy shock measures, namely the narrative series of Romer and Romer (2004), the high-frequency series of Barakchian and Crowe (2013), the high-frequency series of Gertler and Karadi (2015), and the hybrid series of Miranda-Agrippino and Ricco (2018b). To this end, we employ the Proxy-SVAR model and different empirical diagnostic tools to determine the shock measures’ information content. We find that the measure of Miranda-Agrippino and Ricco (2018b), combining the insights from the narrative approach and high-frequency identification, outperforms the other three series.
Subjects: 
Identification with external instruments
Monetary policy shock measures
Proxy-SVAR
JEL: 
C12
C32
E32
E52
Published Version’s DOI: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Accepted Manuscript (Postprint)

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