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

23 Pages Posted: 24 Jun 2019

See all articles by Jef Boeckx

Jef Boeckx

National Bank of Belgium

Marteen Dossche

European Central Bank (ECB) - Directorate General Economics

Alessandro Galesi

idealista

Boris Hofmann

Bank for International Settlements (BIS) - Monetary and Economic Department

Gert Peersman

Ghent University - Department of Financial Economics

Multiple version iconThere are 2 versions of this paper

Date Written: June 18, 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.

Suggested Citation

Boeckx, Jef and Dossche, Marteen and Galesi, Alessandro and Hofmann, Boris and Peersman, Gert, Do SVARs with Sign Restrictions Not Identify Unconventional Monetary Policy Shocks? (June 18, 2019). BIS Working Paper No. 788, Available at SSRN: https://ssrn.com/abstract=3406294

Jef Boeckx

National Bank of Belgium ( email )

Brussels, B-1000
Belgium

Marteen Dossche

European Central Bank (ECB) - Directorate General Economics ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany

Alessandro Galesi (Contact Author)

idealista ( email )

Madrid, Madrid 28014
Spain

Boris Hofmann

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

Gert Peersman

Ghent University - Department of Financial Economics ( email )

W. Wilsonplein 5D
Ghent, 9000
Belgium
+3292643514 (Phone)

HOME PAGE: www.feb.ugent.be/fineco/gert.html

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