We thank two anonymous referees and the editor, Masao Ogaki, for helpful comments on an earlier version of the paper. The paper was presented at the German joint statistical meetings in Bielefeld 2007 and benefited from the comments of some participants. The first author acknowledges financial support from the Yrjö Jahnsson Foundation. This research was done while he was a Jean Monnet Fellow in the Economics Department of the European University Institute.
Identifying Monetary Policy Shocks via Changes in Volatility
Version of Record online: 12 AUG 2008
© 2008 The Ohio State University
Journal of Money, Credit and Banking
Volume 40, Issue 6, pages 1131–1149, September 2008
How to Cite
LANNE, M. and LÜTKEPOHL, H. (2008), Identifying Monetary Policy Shocks via Changes in Volatility. Journal of Money, Credit and Banking, 40: 1131–1149. doi: 10.1111/j.1538-4616.2008.00151.x
- Issue online: 12 AUG 2008
- Version of Record online: 12 AUG 2008
- Received August 4, 2006; and accepted in revised form January 28, 2008.
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