Working paper
Vintage article: the effect of monetary policy shocks in the United Kingdom: an external instruments approach
- Abstract:
- This paper uses VAR analysis to identify monetary policy shocks on U.K. 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. Revised September 2020
- Publication status:
- Published
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(Preview, Version of record, pdf, 574.6KB, Terms of use)
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- Publisher copy:
- 10.1017/S1365100522000657
Authors
- Publisher:
- University of Oxford
- Series:
- Department of Economics Discussion Paper Series
- Publication date:
- 2020-09-27
- DOI:
- Paper number:
- 812
- Keywords:
- Pubs id:
-
1143470
- Local pid:
-
pubs:1143470
- Deposit date:
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2020-12-14
- ARK identifier:
Terms of use
- Copyright date:
- 2020
- Rights statement:
- Copyright 2020 The Author(s)
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