Do SVARs with Sign Restrictions not Identify Unconventional Monetary Policy Shocks?
26 Pages Posted: 8 Jul 2019 Last revised: 17 Jul 2019
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Do SVARs with Sign Restrictions not Identify Unconventional Monetary Policy Shocks?
Do SVARs with Sign Restrictions Not Identify Unconventional Monetary Policy Shocks?
Date Written: July 4, 2019
Abstract
A growing empirical literature has shown, based on structural vector autoregressions (SVARs) identified through sign restrictions, that unconventional monetary policies implemented after the outbreak of the Great Financial Crisis (GFC) had expansionary macroeconomic effects. In a recent paper, Elbourne and Ji (2019) conclude that these studies fail to identify true unconventional monetary policy shocks in the euro area. In this note, we show that their findings are actually fully consistent with a successful identification of unconventional monetary policy shocks by the earlier studies and that their approach does not serve the purpose of evaluating identification strategies of SVARs.
Keywords: unconventional monetary policy, SVARs
JEL Classification: C32, E30, E44, E51, E52
Suggested Citation: Suggested Citation