Are the Effects of Monetary Policy Shocks Big or Small

By Olivier Coibion. 2011

304 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/892e51fca36442300b69fdd134d79cb8b06180fd

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In Economics and Econometrics

Citations in the corpus

The macroeconomic effects of monetary policy: a new measure for the United Kingdom (2014, background): “Romer and Romer (2004) and Coibion (2012) also consider a 19 The bootstrapped confidence intervals are robust to a higher number of repetition, e.g. 10,000.”
Forecast Error Variance Decompositions with Local Projections (2019, unknown): “The properties of impulse responses estimated with these methods are well studied (see, e.g., Coibion 2012; Kilian and Kim 2011), but little is known about how one can reliably estimate the quantitative significance of shocks in the singleequation framework.”
Monetary Policy when Households have Debt: New Evidence on the Transmission Mechanism (2019, unknown): “The original shock series are monthly but, following Romer and Romer (2004) and Coibion (2012), we sum up the monthly innovations to obtain a quarterly series.”
Macroeconomic Shocks and Their Propagation (2016, background): “r My numbers are slightly different from those of Coibion’s for the original sample because he normalized by the impact effect on the funds rate rather than the peak response of the funds rate. Emi Nakamura has suggested that it might be better to compare the integral of the output response to the i”
Identification in Macroeconomics (2017, methodology): “…results based on different monetary shocks: results in the left column are based on monetary shocks from a standard monetary VAR (the VAR used in Coibion (2012)), while results in the right column are based on Romer and Romer’s (2004) monetary shocks.37 In the three rows, different methods are…”
Impulse Response Estimation by Smooth Local Projections (2019, unknown): “To carry out inference, we rely on a semi-parametric regression technique called penalized B-splines regression (Eilers and Marx, 1996). Our approach (1)The narrative identification approach was first proposed by Romer and Romer (1989). For recent uses of the narrative identification approach, see R”
Commodity-price comovement and global economic activity (2020, unknown): “By contrast, monetary policy shocks have accounted for little of the macroeconomic volatility since the mid-1980s, consistent with Coibion (2012).”
Identifying Shocks via Time-Varying Volatility (2019, result): “It is less pronounced than that of Barakchian & Crowe (2013), comparable to Coibion (2012), and only modestly longer than that obtain in the Christiano, Eichenbaum, & Evans (1999) benchmark, even though all three studies exploit Cholesky decomposition.”
The Credit Line Channel (2020, unknown): “We build on Ivashina and Scharfstein (2010) and Cornett et al. (2011), who provide similar evidence for the 2007-09 financial crisis, by measuring the credit line drawdowns at the bank-level and using the Khwaja and Mian (2008) fixed effects approach to more clearly isolate the credit supply effect.”
Monetary Policy and Bank Risk-Taking: Evidence from the Corporate Loan Market (2017, unknown): “(2013), Coibion (2012), Kashyap and Stein (2000)).”