Vintage article: the effect of monetary policy shocks in the UK: an external instruments approach

Abstract

This paper uses vector autoregression model analysis to identify monetary policy shocks on UK data using surprise changes in the policy rate as external instruments and imposing block exogeneity restrictions on domestic variables to estimate parameters from the viewpoint of the domestic economy. The results show large and persistent effects of monetary policy shocks on the domestic economy and point to the critical role of exchange rates and term premia. The analysis resolves important empirical puzzles of traditional recursive identification methods.

Measuring Central Bank’s Policy Effectiveness in Affecting Intention to Use New Payment Platform During The COVID-19 Pandemic

“…Several econometric techniques have been used to study policy impact analysis in economics utilising secondary data, such as the time series analysis (Sharma et al, 2018;Gortz et al, 2020) or difference-indifferences method (Lechner et al, 2011;Fredriksson and Oliveira, 2019). However, the emergence of the pandemic has made it difficult for researchers to evaluate the impact of policies that were introduced contemporaneously near the starting period of the pandemic.…”