Görtz, C., Li, W., Tsoukalas, J. and Zanetti, F. (2023) Vintage article: The effect of monetary policy shocks in the United Kingdom: an external instruments approach. Macroeconomic Dynamics, (doi: 10.1017/S1365100522000657) (Early Online Publication)
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Abstract
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.
Item Type: | Articles |
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Status: | Early Online Publication |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Tsoukalas, Professor John |
Authors: | Görtz, C., Li, W., Tsoukalas, J., and Zanetti, F. |
College/School: | College of Social Sciences > Adam Smith Business School > Economics |
Journal Name: | Macroeconomic Dynamics |
Publisher: | Cambridge University Press |
ISSN: | 1365-1005 |
ISSN (Online): | 1469-8056 |
Published Online: | 09 January 2023 |
Copyright Holders: | Copyright © The Author(s) 2020 |
First Published: | First published in Macroeconomic Dynamics, 2023 |
Publisher Policy: | Reproduced in accordance with the publisher copyright policy |
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