Template-Type: ReDIF-Paper 1.0
Author-Name: Jef Boeckx
Author-X-Name-First: Jef
Author-X-Name-Last: Boeckx
Author-Name: Maarten Dossche
Author-X-Name-First: Maarten
Author-X-Name-Last: Dossche
Author-Name: Alessandro Galesi
Author-X-Name-First: Alessandro
Author-X-Name-Last: Galesi
Author-Name: Boris Hofmann
Author-X-Name-First: Boris
Author-X-Name-Last: Hofmann
Author-Name: Gert Peersman
Author-X-Name-First: Gert
Author-X-Name-Last: Peersman
Title: Do SVARs with sign restrictions not identify unconventional monetary policy shocks?
Abstract: A growing empirical literature has shown, based on structural vector autoregressions (SVARs) identified through sign restrictions, that unconventional monetary policies implemented after the outbreak of the Great Financial Crisis (GFC) had expansionary macroeconomic effects. In a recent paper, Elbourne and Ji (2019) conclude that these studies fail to identify true unconventional monetary policy shocks in the euro area. In this note, we show that their findings are actually fully consistent with a successful identification of unconventional monetary policy shocks by the earlier studies and that their approach does not serve the purpose of evaluating identification strategies of SVARs.
Length: 23 pages
Creation-Date: 2019-06
File-URL: https://www.bis.org/publ/work788.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work788.htm
File-Format: text/html
Number: 788
Classification-JEL: C32, E52
Keywords: unconventional monetary policy, SVARs, shock identification
Handle: RePEc:bis:biswps:788