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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Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 24-2011)
Main Authors: Hayo, Bernd, Niehof, Britta
Format: Work
Language:English
Published: Philipps-Universität Marburg 2011
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Online Access:PDF Full Text
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MAGKS - Joint Discussion Paper Series in Economics