Seminar: Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?

We show that the identification schemes used by Burriel & Galesi (2018), Boeckx et al. (2017) and Gambacorta et al. (2014) fail to plausibly recover true unconventional monetary policy shocks in the euro area. In their identification schemes the information contained in the size of the central bank's balance sheet is key to distinguishing monetary policy shocks from other shocks that lower financial market stress. We show that replacing the size of the ECB's balance sheet with random numbers leads to statistically indistinguishable impulse response functions and time series of supposed unconventional monetary policy shocks. In contrast, using monetary policy shocks identified from futures rate data by Jarocinski & Karadi (2018), we argue that unconventional monetary policy has not had a statistically significant effect on real economic activity.