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.File | Dimensione | Formato | |
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https://hdl.handle.net/20.500.12608/68245