Scandinavian Working Papers in Economics

Working Papers,
Lund University, Department of Economics

No 2022:18: Monetary Policy Shocks for Sweden

Josefin Kilman ()
Additional contact information
Josefin Kilman: Department of Economics, Lund University, Postal: School of Economics and Management, Box 7080, S-220 07 Lund, Sweden

Abstract: This paper estimates monetary policy shocks for Sweden between 1996-2019. I employ the Romer and Romer (2004) (R&R) approach and use annual forecasts of output growth and inflation to estimate monetary policy shocks. I complement the analysis with shocks from a recursive VAR including output, prices, and the repo rate, as well as a set of high-frequency shocks. A comparison of the three sets of shocks shows that the R&R and VAR shocks are similar, while the high-frequency shocks are fewer and smaller in size. Local projections show expected impulse responses on most economic variables, regardless of data frequency, but responses to the recursive VAR shocks are more in line with textbook findings compared to responses to the R&R and high-frequency shocks. Overall, results are robust to alternative model specifications and lag lengths in local projections.

Keywords: Monetary policy; monetary policy shocks; vector autoregression; local projections

JEL-codes: C22; C32; E32; E43; E52; E58

Language: English

42 pages, September 15, 2022

Full text files

WP22_18 PDF-file Full text

Download statistics

Questions (including download problems) about the papers in this series should be directed to Prakriti Thami ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-03-12 14:07:14.