This thesis investigates the effectiveness of various instrumental variables (proxies) in identifying nonsystematic movements in monetary policy and their impacts on key macroeconomic variables. Recognizing the critical role of instruments in capturing the effects of monetary policy shocks, this study systematically compares several prominent measures proposed in the literature. The analysis focuses on instruments developed by Romer and Romer (2004), Gertler and Karadi (2015), Jarociński and Karadi (2020), and Miranda-Agrippino and Ricco (2021), utilizing both narrative methods and high-frequency identification techniques. Employing a Structural Vector Autoregression (SVAR) model, this research examines the dynamic responses of interest rates, unemployment rates, and price levels to monetary policy shocks.

This thesis investigates the effectiveness of various instrumental variables (proxies) in identifying nonsystematic movements in monetary policy and their impacts on key macroeconomic variables. Recognizing the critical role of instruments in capturing the effects of monetary policy shocks, this study systematically compares several prominent measures proposed in the literature. The analysis focuses on instruments developed by Romer and Romer (2004), Gertler and Karadi (2015), Jarociński and Karadi (2020), and Miranda-Agrippino and Ricco (2021), utilizing both narrative methods and high-frequency identification techniques. Employing a Structural Vector Autoregression (SVAR) model, this research examines the dynamic responses of interest rates, unemployment rates, and price levels to monetary policy shocks.

Monetary Policy Shocks: Playing with Different Instruments

SARAGONI, JACOPO
2023/2024

Abstract

This thesis investigates the effectiveness of various instrumental variables (proxies) in identifying nonsystematic movements in monetary policy and their impacts on key macroeconomic variables. Recognizing the critical role of instruments in capturing the effects of monetary policy shocks, this study systematically compares several prominent measures proposed in the literature. The analysis focuses on instruments developed by Romer and Romer (2004), Gertler and Karadi (2015), Jarociński and Karadi (2020), and Miranda-Agrippino and Ricco (2021), utilizing both narrative methods and high-frequency identification techniques. Employing a Structural Vector Autoregression (SVAR) model, this research examines the dynamic responses of interest rates, unemployment rates, and price levels to monetary policy shocks.
2023
Monetary Policy Shocks: Playing with Different Instruments
This thesis investigates the effectiveness of various instrumental variables (proxies) in identifying nonsystematic movements in monetary policy and their impacts on key macroeconomic variables. Recognizing the critical role of instruments in capturing the effects of monetary policy shocks, this study systematically compares several prominent measures proposed in the literature. The analysis focuses on instruments developed by Romer and Romer (2004), Gertler and Karadi (2015), Jarociński and Karadi (2020), and Miranda-Agrippino and Ricco (2021), utilizing both narrative methods and high-frequency identification techniques. Employing a Structural Vector Autoregression (SVAR) model, this research examines the dynamic responses of interest rates, unemployment rates, and price levels to monetary policy shocks.
Vector AR
MP Shock
Instruments
File in questo prodotto:
File Dimensione Formato  
Saragoni_Jacopo.pdf

accesso riservato

Dimensione 954.75 kB
Formato Adobe PDF
954.75 kB Adobe PDF

The text of this website © Università degli studi di Padova. Full Text are published under a non-exclusive license. Metadata are under a CC0 License

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.12608/68245