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
Subjects:	Financial markets instrumental variable estimation Wirtschaft spillover effects identification through heteroscedasticity Economics
Online Access:	PDF Full Text
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