Vintage article: the effect of monetary policy shocks in the UK: an external instruments approach
- This paper uses vector autoregression model analysis to identify monetary policy shocks on UK data using surprise changes in the policy rate as external instruments and imposing block exogeneity restrictions on domestic variables to estimate parameters from the viewpoint of the domestic economy. The results show large and persistent effects of monetary policy shocks on the domestic economy and point to the critical role of exchange rates and term premia. The analysis resolves important empirical puzzles of traditional recursive identification methods.
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| Author: | Christoph GörtzGND, Wei Li, John Tsoukalas, Francesco Zanetti |
|---|---|
| URN: | urn:nbn:de:bvb:384-opus4-1096767 |
| Frontdoor URL | https://opus.bibliothek.uni-augsburg.de/opus4/109676 |
| ISSN: | 1365-1005OPAC |
| ISSN: | 1469-8056OPAC |
| Parent Title (English): | Macroeconomic Dynamics |
| Publisher: | Cambridge University Press |
| Place of publication: | Cambridge |
| Type: | Article |
| Language: | English |
| Year of first Publication: | 2023 |
| Publishing Institution: | Universität Augsburg |
| Release Date: | 2023/12/04 |
| Tag: | Economics and Econometrics |
| Volume: | 27 |
| Issue: | 8 |
| First Page: | 2270 |
| Last Page: | 2285 |
| DOI: | https://doi.org/10.1017/s1365100522000657 |
| Institutes: | Wirtschaftswissenschaftliche Fakultät |
| Wirtschaftswissenschaftliche Fakultät / Institut für Volkswirtschaftslehre | |
| Wirtschaftswissenschaftliche Fakultät / Institut für Volkswirtschaftslehre / Lehrstuhl für Empirische Makroökonomik (Görtz) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  CC-BY 4.0: Creative Commons: Namensnennung (mit Print on Demand) |
