复古文章：英国货币政策冲击的影响：外部工具方法

IF 0.7 4区经济学 Q3 ECONOMICS

Macroeconomic Dynamics Pub Date : 2023-01-09 DOI:10.1017/s1365100522000657

C. Görtz, Wei Li, J. Tsoukalas, Francesco Zanetti

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引用次数: 0

摘要

本文使用向量自回归模型分析来识别英国数据上的货币政策冲击，将政策利率的突然变化作为外部工具，并对国内变量施加块外生性限制，以从国内经济的角度估计参数。研究结果表明，货币政策冲击对国内经济产生了巨大而持久的影响，并指出了汇率和期限溢价的关键作用。该分析解决了传统递归辨识方法的重要经验难题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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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来源期刊

Macroeconomic Dynamics ECONOMICS-

CiteScore

2.10

自引率

11.10%

发文量

期刊介绍： Macroeconomic Dynamics publishes theoretical, empirical or quantitative research of the highest standard. Papers are welcomed from all areas of macroeconomics and from all parts of the world. Major advances in macroeconomics without immediate policy applications will also be accepted, if they show potential for application in the future. Occasional book reviews, announcements, conference proceedings, special issues, interviews, dialogues, and surveys are also published.