A New Measure of Monetary Shocks : Derivation and Implications By

By Christina D. Romer, D. Romer. 2004

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Citations in the corpus

The Econometrics of Randomized Experiments (2016, background): “Angrist and Kuersteiner (2011), building on work by Romer and Romer (2004), use the potential outcome framework to discuss causal analyses in a macro-economic time series context.”
Household Debt and the Dynamic Effects of Income Tax Changes (2017, background): “…...) = 0, where νt may well be a function of current and past structural shocks.7 4The idea has also been used to identify government spending shocks (Ramey and Shapiro (1998); Ramey (2011)), monetary policy shocks (Romer and Romer (1989, 2004)) and fiscal consolidations (Guajardo et al. (2011)).”
Macroeconomic Shocks and Their Propagation (2016, background): “Barakchian and Crowe (2013) estimate many of the standard models, such as by those by Bernanke and Mihov (1998), CEE (1999), Romer and Romer (2004), and Sims and Zha (2006b), splitting the estimation sample in the 1980s and showing that the impulse response functions change dramatically.”
Identifying Uncertainty Shocks Using the Price of Gold (2018, unknown): “We then aggregate these variations into a monthly time series summing up within a month, as in Romer and Romer (2004).”
Commodity-price comovement and global economic activity (2020, methodology): “We use data from 1969:3 until 2008:12 to estimate the VAR with 18 months of lags, midway between the 12 month lag specifications typical of monetary VAR’s and the 24 month lag specification used by Romer and Romer (2004).”
Forecast Error Variance Decompositions with Local Projections (2019, methodology): “This benchmark corresponds to the practice of including shocks into VARs directly (e.g., Barakchian and Crowe 2013; Basu et al. 2006; Ramey 2011; Romer and Romer 2004, 2010).”
Monetary policy matters: Evidence from new shocks data (2013, methodology): “Identification methods (such as Romer and Romer, 2004) that allow for forward-looking variables in the reaction function but do not allow for the apparent increase in their relative weight will tend to suffer from the same problem.”