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The Macroeconomic Effects of Monetary Policy in Sweden
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2017 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

In this paper, the identification strategy introduced by Romer and Romer (2004) is used to derive more accurate estimates of the effects of monetary policy in Sweden. By constructing a new real-time data set and then matching this data to each of the Riksbank’s repo rate decisions between 1999 and 2016, an exogenous monetary policy shock measure is obtained from the estimated residuals of the first-stage regression. The results from the VAR model show that a one percentage point innovation in the shock reduces output by 8 per cent and inflation by more than 1.4 percentage points. The results also indicate that the macroeconomic effects are protracted and that using the new measure for monetary policy shocks solves the ”price puzzle”.

Place, publisher, year, edition, pages
2017.
Keywords [en]
Monetary policy shocks, VAR model, real-time data, Sweden
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-326437OAI: oai:DiVA.org:uu-326437DiVA, id: diva2:1121181
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Available from: 2017-08-18 Created: 2017-07-10 Last updated: 2017-08-18Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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