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Reconciling Narrative Monetary Policy Disturbances with Structural VAR Model Shocks?

Structural VAR studies disagree with narrative accounts about the history of monetary policy disturbances. We investigate whether employing the narrative monetary shocks as a proxy variable in a VAR model aligns both shock series. We find that it does not.

15. November 2013

Autoren Martin Kliem Alexander Kriwoluzky

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