Identification Through Heteroscedasticity in a Multicountry and Multimarket Framework

Identification Through Heteroscedasticity in a Multicountry and Multimarket Framework

This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework. Applying our multivariate framework allows deriving consistent estimators of monetary policy effects....

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Bibliografiska uppgifter
I publikationen:MAGKS - Joint Discussion Paper Series in Economics (Band 24-2011)
Huvudupphovsmän: Hayo, Bernd, Niehof, Britta
Materialtyp: Arbeit
Språk:engelska
Publicerad: Philipps-Universität Marburg 2011
Ämnen:
spillover effects
instrumental variable estimation
Wirtschaft
Financial markets
identification through heteroscedasticity
Economics
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MAGKS - Joint Discussion Paper Series in Economics

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