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This file provides the instruments constructed to identify ECB monetary policy shocks in the paper Hachula, Piffer, Rieth,"Unconventional Monetary Policy, Fiscal Side Effects and Euro Area (Im)balances", Journal of the European Economic Association. The file reports both the instruments at the daily frequency and the corresponding instruments at the monthly frequency, aggregated as explained in the paper.
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Due to the data availability of the variables used in the VAR, the instrument for phase 2 of unconventional monetary policy is used only until 2016M11. For completeness, this file reports the instrument until 2016M12. In addition, for completeness we report the instruments for the full unconventional period (phase 1+2) and for both conventional and unconventional periods together by copying and pasting the instruments of each phase one after the other.
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For some introductory notes on the use of external instruments to identify VARs, see
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https://sites.google.com/s/1K0mJgtU2Ne3dlGDJejH0J9KShjr2fLR0/p/0B0CRyT66a7B2TWpGUUtoMGpKZlE/edit?authuser=1
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Michele Piffer
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London, 04/10/2018
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m.b.piffer@gmail.com
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https://sites.google.com/site/michelepiffereconomics/home
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