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Monetary Policy Shocks for Sweden

Kilman, Josefin LU (2022) In Working Papers
Abstract
This paper estimates monetary policy shocks for Sweden between 1996-2019. I employ the Romer and Romer (2004) (R&R) approach and use annual forecasts of output growth and inflation to estimate monetary policy shocks. I complement the analysis with shocks from a recursive VAR including output, prices, and the repo rate, as well as a set of high-frequency shocks. A comparison of the three sets of shocks shows that the R&R and VAR shocks are similar, while the high-frequency shocks are fewer and smaller in size. Local projections show expected impulse responses on most economic variables, regardless of data frequency, but responses to the recursive VAR shocks are more in line with textbook findings compared to responses to the R&R... (More)
This paper estimates monetary policy shocks for Sweden between 1996-2019. I employ the Romer and Romer (2004) (R&R) approach and use annual forecasts of output growth and inflation to estimate monetary policy shocks. I complement the analysis with shocks from a recursive VAR including output, prices, and the repo rate, as well as a set of high-frequency shocks. A comparison of the three sets of shocks shows that the R&R and VAR shocks are similar, while the high-frequency shocks are fewer and smaller in size. Local projections show expected impulse responses on most economic variables, regardless of data frequency, but responses to the recursive VAR shocks are more in line with textbook findings compared to responses to the R&R and high-frequency shocks. Overall, results are robust to alternative model specifications and lag lengths in local projections. (Less)
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author
organization
publishing date
type
Working paper/Preprint
publication status
published
subject
keywords
Monetary policy, monetary policy shocks, vector autoregression, local projections, C22, C32, E32, E43, E52, E58
in
Working Papers
issue
2022:18
pages
42 pages
language
English
LU publication?
yes
id
c65c54fa-d35f-47c8-940f-a20cbd85cfdd
date added to LUP
2022-10-04 11:46:24
date last changed
2024-03-11 12:16:28
@misc{c65c54fa-d35f-47c8-940f-a20cbd85cfdd,
  abstract     = {{This paper estimates monetary policy shocks for Sweden between 1996-2019. I employ the Romer and Romer (2004) (R&R) approach and use annual forecasts of output growth and inflation to estimate monetary policy shocks. I complement the analysis with shocks from a recursive VAR including output, prices, and the repo rate, as well as a set of high-frequency shocks. A comparison of the three sets of shocks shows that the R&R and VAR shocks are similar, while the high-frequency shocks are fewer and smaller in size. Local projections show expected impulse responses on most economic variables, regardless of data frequency, but responses to the recursive VAR shocks are more in line with textbook findings compared to responses to the R&R and high-frequency shocks. Overall, results are robust to alternative model specifications and lag lengths in local projections.}},
  author       = {{Kilman, Josefin}},
  keywords     = {{Monetary policy; monetary policy shocks; vector autoregression; local projections; C22; C32; E32; E43; E52; E58}},
  language     = {{eng}},
  note         = {{Working Paper}},
  number       = {{2022:18}},
  series       = {{Working Papers}},
  title        = {{Monetary Policy Shocks for Sweden}},
  url          = {{https://lup.lub.lu.se/search/files/173627654/WP22_18.pdf}},
  year         = {{2022}},
}