| dc.description.abstract | This thesis concerns the transmission of monetary policy shocks on
the unemployment rate in Norway over the past 20 years. The study
compares impulse response functions from local projections - estimated
through OLS and IV regressions - and SVAR methodologies - identified
with short-term restrictions and external instruments. While touching
upon the identification problem, this study contributes to existing
literature by providing a comparison framework for how identification
strategies affect model results.
I note a delayed response of the unemployment rate to normalized
policy shocks through both methodologies. Peak impact is observed
after a period of 10 quarters, while quantitatively the response is of
a small size. The response is similar for a local projection specified
as in Jordà (2005) and for a two-variable SVAR model specified as in
Sims (1980). The use of external instruments amplifies the response
in local projections, but causes a loss of statistical significance in the
SVAR responses. I extend the model to consider dependencies of the
impact of monetary policy changes on the current level of interest rates
or unemployment rates. As a measure of robustness, I provide estimates
for polynomial local projections, and a five-variable SVAR model that
includes GDP, the implicit price deflator, and exchange rates - allowing
for various lag selections and variable ordering. | en_US |
