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

26 Pages Posted: 8 Jul 2019 Last revised: 17 Jul 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: 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

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? (July 4, 2019). Banco de Espana Working Paper No. 1926 (2019), Available at SSRN: https://ssrn.com/abstract=3414958 or http://dx.doi.org/10.2139/ssrn.3414958

Jef Boeckx (Contact Author)

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

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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