Do SVARs with Sign Restrictions not Identify Unconventional Monetary Policy Shocks?

Boeckx, Jef; Dossche, Marteen; Galesi, Alessandro; Hofmann, Boris; Peersman, Gert

doi:10.2139/ssrn.3414958

Cited by 21 publications

(14 citation statements)

References 14 publications

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“…The results (Annex I) show that while positive fiscal spending shocks foster private sector consumption and investment in 13 It is important to note that an overlap of the confidence interval by itself does not imply that the differences are statistically insignificant. For example, Boeckx et al (2019) show that the difference between the impulse responses are statistically significant though the confidence intervals overlap. To check whether the differences of output effects between LICs and AEs (EMs) are statistically significant, we nest the estimation for AEs and LICs within the single model and calculate the differences between output responses and the confidence bands of the differences.…”

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confidence: 99%

Exploring the Output Effect of Fiscal Policy Shocks in Low Income Countries

Honda¹,

Miyamoto²,

Taniguchi³

2020

IMF Working Papers

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What do we know about the output effects of fiscal policy in low income countries (LICs)? There are very few empirical studies on the subject. This paper fills this gap by estimating the output effects of government spending shocks in LICs. Our analysis—based on the local projection method—finds that the output effects in LICs are markedly lower than those in AEs and marginally smaller than those in EMs. We also find that in LICs, the output effects are larger (i) during recessions; (ii) under a fixed exchange rate regime; and/or (iii) with higher quality of institutions. Our analysis could not confirm any statistically significant output effect under floating exchange rate regimes. For the estimation of the output effects of fiscal spending shocks, it is thus important to consider the state of the economy and the country’s structural characteristics. Our results imply that the output costs of fiscal adjustment in LICs may not be as large as previously thought, especially if adopted outside of a recession, based on cutting public consumption, and accompanied by reform to enhance institutions.

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confidence: 99%

Exploring the Output Effect of Fiscal Policy Shocks in Low Income Countries

Honda¹,

Miyamoto²,

Taniguchi³

2020

IMF Working Papers

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“…Stock and Watson (2012) and Mertens and Ravn (2013) have pioneered the development of this methodology 4 Note also that there is recent debate on whether SVARs with sign restrictions are really able to identify unconventional monetary policy shocks. See Elbourne and Ji (2019) and Boeckx, Dossche, Galesi, Hofmann, and Peersman (2019). 5 For example, Gambacorta, Hofmann, and Peersman (2014) Gertler and Karadi (2015), Li and Zanetti (2016), Jarociński and Karadi (2020), Lhuissier and Szczerbowicz (2018), and Caldara and Herbst (2019).…”

Section: Literature Reviewmentioning

confidence: 99%

The Dynamic Effects of the ECB’s Asset Purchases: A Survey-Based Identification

Lhuissier

Nguyen

2021

SSRN Journal

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This paper estimates the dynamic effects of the ECB's asset purchase programme (APP) using a proxy structural vector autoregression. We construct a novel proxy for structural APP shocks as unexpected changes in the size of additional purchases announced by the ECB. Unexpected changes are inferred from public expectations released in quantitative surveys just before monetary policy announcements. The results consistently show that innovations to APP have expansionary effects on both output and prices: an immediate increase in asset purchases of one percent of GDP leads to a maximum impact in industrial production and consumer prices by 0.15 percent and 0.06 percent, respectively. Overall, APP shocks account for less than a fifth of the long-run macroeconomic variability. Finally, our counterfactual analyses indicate that APP and its successive recalibrations were central in supporting inflation. For example, we find inflation would have fallen into negative territory without December 2015 and March 2016 APP recalibrations.

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“…A large strand of the literature combines this method with central bank assets (Boeckx et al, 2017; Burriel & Galesi, 2018; Gambacorta et al, 2014). Whether this combination identifies unconventional shocks is currently being discussed (Boeckx et al, 2019; Elbourne, 2019; Elbourne & Ji, 2019).…”

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confidence: 99%

Why central banks announcing liquidity injections is more effective than forward guidance

Baumgärtner¹,

Klose²

2021

International Finance

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We distinguish the announcement effects of conventional and unconventional monetary policy measures on macroeconomic variables using a high‐frequency data set that measures the impact of the European Central Bank's monetary policy decisions. For the period 2002 to 2019, we show that conventional and unconventional monetary policy measures differ considerably in their impact on inflation. While conventional measures show the expected response, that is, an interest rate cut increases inflation, unconventional measures appear to generally have no significant influence. However, this does not hold for quantitative easing, which is found to have a similar influence on inflation as the conventional interest rate changes.

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Do SVARs with Sign Restrictions not Identify Unconventional Monetary Policy Shocks?

Cited by 21 publications

References 14 publications

Exploring the Output Effect of Fiscal Policy Shocks in Low Income Countries

Exploring the Output Effect of Fiscal Policy Shocks in Low Income Countries

The Dynamic Effects of the ECB’s Asset Purchases: A Survey-Based Identification

Why central banks announcing liquidity injections is more effective than forward guidance

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