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External_Instrument_VAR_Model:- Replicating Gertler-Karadi Proxy SVAR model

Gertler & Karadi in their seminal paper https://www.aeaweb.org/articles?id=10.1257/mac.20130329,

have provided an evidence on the transmission of monetary policy shocks in a setting with both economic and financial variables. They show that shocks identified using high frequency surprises around policy announcements as external instruments produce responses in output and inflation that are typical in monetary VAR analysis. The bootstrap has been added for robustness. Data used is for Europe , https://www.ecb.europa.eu/pub/pdf/annex/Dataset_EA-MPD.xlsx.

Extension to replicate the approach of Prof Kanzig :- The model is bit different from Gertler & Karadi

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3185839

For analysis Code R program has been used. In case of Python there were some issues when computing IRFs and so the work is still in continuation for it.

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Following the Gertler-Karadi Proxy SVAR model

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