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| Author: | Schabert, A. |
| Title: | Identifying monetary policy shocks with changes in open market operations |
| Journal: | European Economic Review
2005 : APR, VOL. 49:3, p. 561-577 |
| Index terms: | Monetary policy Markets Models |
| Language: | eng |
| Abstract: | This paper re-examines the effects of monetary policy shocks by exploiting the information contained in open market operations. A sticky price model is developed where money is the counterpart of securities deposited at the central bank. It is revealed that a rise in central bank holdings of open market securities can be interpreted as a monetary expansion. Furthermore, estimates of vector autoregressions for U.S. data are provided showing that reactions to an unanticipated rise in open market securities are consistent with common priors about a monetary expansion. |
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