Identifying US Monetary Policy Shocks Through Sign Restrictions in Dollarized Countries
affiliation not provided to SSRN
University of Oxford - Nuffield College
September 28, 2011
Tinbergen Institute Discussion Paper No. 2011-145/2
Since dollarized countries import US monetary policy, identifying US monetary shocks through sign restrictions on US variables only, does not use all available information. In this paper, we therefore include dollarized countries, which enable us to restrict more variables and leave the responses of US output and prices unrestricted (to allow for the working capital view of monetary shocks). We find only little evidence for the latter in the US, as prices fall immediately after most contractionary shocks that we identify. Furthermore, monetary shocks do not seem to have a clear effect on real GDP.
Number of Pages in PDF File: 23
Keywords: Monetary policy effects, price puzzle, structural VARs, identification
JEL Classification: E52, E31, C32working papers series
Date posted: December 6, 2011
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