A New Measure of Monetary Shocks: Derivation and Implications

By Christina D. Romer, D. Romer. 2004

215 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7059efff9497e67847c64ea315e61f23fd96f311

Citations in the corpus

The systematic component of monetary policy in SVARs: An agnostic identification procedure (2015, unknown): “Furthermore, Restriction 2 is also consistent with Romer and Romer (2004).6 Finally, as we show in the next section, Restriction 2 is also implied by Christiano, Eichenbaum, and Evans (1996).”
The Time-Varying Effect of Monetary Policy on Asset Prices (2017, unknown): “…orthogonalized against the Greenbook forecasts for real GDP (current quarter, one quarter ahead, two quarters ahead), the GDP deflator (current quarter, one quarter ahead, two quarters ahead), and the unemployment rate (current quarter), resembling the information set used in Romer & Romer (2004).”
Real Rigidities and Nominal Price Changes (2006, unknown): “For a sampling of estimates, each using a different identification strategy, see Christiano et al. (1999), Romer and Romer (2004), Bernanke et al. (2005) and Smets andWouters (2007).”
The Long-Run Effects of Monetary Policy (2020, unknown): “Notes: Response to a 100 bps shock in federal funds rate rate instrumented with policy forecast residuals (Romer and Romer, 2004; Wieland and Yang, 2016).”
Price Rigidity: Microeconomic Evidence and Macroeconomic Implications (2013, unknown): “One strand of this literature has focused on the effects of monetary shocks, documenting evidence for substantial “monetary non-neutrality” (see, e.g., Friedman and Schwartz, 1963; Christiano, Eichenbaum and Evans, 1999; Romer and Romer, 2004).”
The Impact of Monetary Policy on Inequality in the UK. An Empirical Analysis (2017, unknown): “The authors use household level data from the Consumer Expenditures Survey (CEX) since 1980 at quarterly frequency to construct their di⁄erent measures of inequality and to see how these measures respond to monetary policy shocks as identi(cid:133)ed by Romer and Romer (2004).”
Monetary Transmission through Shadow Banks (2018, unknown): “To verify this conjecture, I regress annual growth rates of MMF lending by each type of money market instruments on monetary policy shocks measured by Romer and Romer (2004) series controlling for macroeconomic variables, fund characteristics, and fund fixed effects.”
No-Arbitrage Taylor Rules (2007, unknown): “…policy rules using structural models (see, among others, Bernanke and Mihov, 1998) or using real-time information sets like central bank forecasts to control for the endogenous effects of monetary policy taken in response to current economic conditions (see, for example, Romer and Romer, 2004).”
Shock Restricted Structural Vector-Autoregressions (2017, unknown): “To do so, we turn to a well-known historical record of such shocks that is based on the Greenbook residual series presented in Romer and Romer (2004).”
U.S. monetary policy and emerging market credit cycles (2017, unknown): “Monetary policy is intrinsically connected to economic fundamentals (Romer and Romer 2004).”
Forecast Error Variance Decompositions with Local Projections (2019, unknown): “While this may be a problem if we use shocks identified and recovered from a DSGE model, the spirit of our exercise is to assume that we have access to other information (as in e.g. Romer and Romer 2004) so that we can observe monetary policy shocks directly. out after about h = 5.”
The long-run information effect of central bank communication (2019, unknown): “Our construction is similar to that in Romer and Romer (2004) and Cloyne and Hürtgen (2016) , who construct monetary policy shocks by regressing interest rate decisions on numerical forecast variables for the Federal Reserve and the Bank of England, respectively.”
Impulse Response Estimation by Smooth Local Projections (2019, unknown): “A reasonable assumption may be to posit that the Romer and Romer (2004) shocks are a proxy for the true monetary shocks rather than an exact measure, in that they are correlated with the true monetary shocks and uncorrelated with other structural shocks.”
Measuring Uncertainty and Its Impact on the Economy (2016, unknown): “The monetary policy shocks of Coibion, et al. (2016) update the estimates of Romer and Romer (2004). similar to that imposed by other uncertainty VARs (with the recursive ordering as in Bloom 2009 or JLN), and it is somewhat similar to adding an uncertainty proxy to a VAR, ordered ﬁrst.”
Economic Policy Uncertainty Spillovers in Booms and Busts (2019, unknown): “…the excess bond premium as in Gilchrist and Zakrajˇsek (2012). an Overall, we consider eight macroeconomic shocks, i.e., two monetary policy shocks (Romer and Romer (2004) and Barakchian and Crowe (2013)), one ﬁnancial shock (Gilchrist and Zakrajˇsek (2012)), two ﬁscal shocks (ﬁscal spending news…”