arXiv 10 May 2025 · Econometrics · 1 citations (OpenAlex)
arXiv:2505.06649 · PDF · DOI · OpenAlex · Extracted main text
I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally efficient estimation in high-dimensional settings through a straightforward Gibbs sampler. By incorporating time variation in the effects of monetary policy while maintaining tractability, the methodology offers a flexible and scalable approach to empirical macroeconomic analysis using BVARs, well-suited to handle data irregularities observed in recent times. Applied to the U.S. economy, I identify monetary shocks using a combination of high-frequency surprises and sign restrictions, yielding results that are robust across a wide range of specification choices. The findings indicate that the Federal Reserve's influence on disaggregated consumer prices fluctuated significantly during the 2022-24 high-inflation period, shedding new light on the evolving dynamics of monetary policy transmission.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Jarociński, M (2024) Estimating the Fed’s unconventional policy shocks | 1.000 | 6 | 3 | 100% |
| 2 | Jarociński, M. and Karadi, P (2020) Deconstructing monetary policy surprises—The role of information shocks | 0.928 | 4 | 3 | 100% |
| 3 | Korobilis, D (2022) A new algorithm for structural restrictions in Bayesian vector autoregressions self | 0.874 | 7 | 2 | 100% |
| 4 | Gürkaynak, R. S., Sack, B., and Swanson, E (2005) Do actions speak louder than words? The response of asset prices to monetary policy actions and statements | 0.874 | 5 | 2 | 100% |
| 5 | Bauer, M. D. and Swanson, E. T (2023) Fed information effect | 0.737 | 3 | 2 | 100% |
| 6 | Braun, R. and Brüggemann, R (2023) Identification of SVAR models by combining sign restrictions with external instruments | 0.737 | 3 | 2 | 100% |
| 7 | Mumtaz, H. and Petrova, K (2023) Changing impact of shocks: A time-varying proxy SVAR approach | 0.644 | 2 | 2 | 100% |
| 8 | Acosta, M., Brennan, C. M., and Jacobson, M. M (2024) Constructing high-frequency monetary policy surprises from SOFR futures | 0.585 | 3 | 1 | 100% |
| 9 | Acosta, M (2023) The perceived causes of monetary policy surprises | 0.511 | 2 | 1 | 100% |
| 10 | Read, M (2024) Set-identified structural vector autoregressions and the effects of a 100 basis point monetary policy shock | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 36 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Large structural VARs with multiple linear shock and impact inequality restrictions | 0.405 | 1 | 1 |