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Same, but different? Testing monetary policy shock measures
1 : German Institute for Economic Research
In this study, we determine the reliability of three popular monetary policy measures
introduced by Romer and Romer (2004), Barakchian and Crowe (2013), and Gertler
and Karadi (2015) respectively, and estimate the causal effects of monetary policy. To
this end, we employ the Proxy-SVAR model proposed by Stock and Watson (2012) and
Mertens and Ravn (2013). We carry out impulse response analysis employing different
test statistics to determine the shock measures' information content. We find that
Gertler and Karadi's (2015) series qualies as the most relevant monetary policy shock
measure.
