Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 5, 2023 erstellt
Description:
We study the links between financial uncertainty, economic activity, and both conventional and unconventional monetary policies. To disentangle the effects of conventional policies from unconventional ones, we introduce a new identification method that exploits non-Gaussian characteristics of the data and the presence of an external instrument. The inclusion of the external instrument in our methodological framework has the advantage to solve (to some extent) the shock labeling problem often associated with statistical identification schemes. We use this approach to identify and label the two types of monetary policy shocks in the Euro Area. We show it is relevant for central banks to consider financial uncertainty as endogenous to monetary policy, especially conventional, alongside other economic fundamentals. These results shed new light on the transmission and effectiveness of monetary policy on macroeconomic variables