English, Article, Journal or magazine article edition: The narrative approach for the identification of monetary policy shocks in small open economies Eleni Angelopoulou

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Bookmark: http://trove.nla.gov.au/version/34548
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The narrative approach for the identification of monetary policy shocks in small open economies
Author
  • Eleni Angelopoulou
Physical Description
  • preprint
Notes
  • This paper reviews 22 years of UK monetary policy (1971-1992) using official record from the Quarterly Bulletin of the Bank of England. A definition of policy shocks, which allows for the exclusion of cases of interest rate increases, which were unrelated to the monetary policy objectives, is used. The empirical analysis shows that output displays the usual hump-shaped response after a shock to the policy indicator but adjustment to pre-shock levels is slow. Other variables also display theory-consistent behaviour. Based on this policy indicator monetary policy is found to cause very limited output fluctuation in a four year horizon. The policy indicator is found to outperform the intervention rate as a measure of policy
  • monetary policy shocks, narrative approach, UK
  • RePEc:mmf:mmfc06:24
Language
  • English
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