The dynamic causal effect of an intervention on an outcome is of paramount interest to
applied macro-and microeconomics research. However, this question has been generally …

We prove that local projections (LPs) and Vector Autoregressions (VARs) estimate the same
impulse responses. This nonparametric result only requires unrestricted lag structures. We …

External sources of as‐if randomness—that is, external instruments—can be used to identify
the dynamic causal effects of macroeconomic shocks. One method is a one‐step …

This paper studies the economic impacts of carbon pricing. Exploiting institutional features of
the European carbon market and high-frequency data, I document that a tighter carbon …

The methods of Gürkaynak et al.(2005a) are extended to separately identify surprise
changes in the federal funds rate, forward guidance, and large-scale asset purchases …

We construct a new measure of uncertainty about Federal Reserve policy actions and their
consequences, a monetary policy uncertainty (MPU) index. We evaluate the information …

Commonly used instruments for the identification of monetary policy disturbances are likely
to combine the true policy shock with information about the state of the economy due to the …

We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR)
estimators of structural impulse responses across thousands of data generating processes …

We develop a US monetary policy shock series that stably bridges periods of conventional
and unconventional policymaking, is largely unpredictable, and contains no significant …

Using household survey data for the US and the UK, we show that the aggregate response
of consumption to interest rate changes is driven by households with a mortgage. Outright …