Data and Code for: Measuring Monetary Policy in the Euro Area Using SVARs with Residual Restrictions

Principal Investigator(s): View help for Principal Investigator(s) Harald Badinger, Vienna University of Economics and Business; Stefan Schiman, Austrian Institute of Economic Research

Version: View help for Version V1

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Project Citation:

Badinger, Harald, and Schiman, Stefan. Data and Code for: Measuring Monetary Policy in the Euro Area Using SVARs with Residual Restrictions. Nashville, TN: American Economic Association [publisher], 2023. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2023-03-27. https://doi.org/10.3886/E169401V1

Project Description

Summary: This study measures the effects of monetary policy in the euro area using a small number of sign and magnitude restrictions on the residuals of a structural vector autoregression (SVAR). We derive the dates and directions of these shocks from high-frequency financial market data around official policy announcements of the European Central Bank (ECB). Based on an in-depth narrative analysis of the identifying shocks, we argue that our approach is purged from central bank information effects. We also illustrate this by a comparison of the results with those of a standard high-frequency approach. Despite our rather agnostic identification strategy, we find clear and conclusive effects of monetary policy shocks on a wide range of macroeconomic variables, which are in line with standard theory.

Funding Sources: Austrian National Bank (18033)

Scope of Project

Subject Terms: Structural VAR; Residual Sign Restrictions; Monetary Policy; ECB

JEL Classification:
      C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
      E43 Interest Rates: Determination, Term Structure, and Effects
      E44 Financial Markets and the Macroeconomy
      E52 Monetary Policy
      E58 Central Banks and Their Policies

Geographic Coverage: Euro area

Time Period(s): 1/1999 – 12/2019

Data Type(s): aggregate data

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Published Versions

V1 [2023-03-27]

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