Does Monetary Policy Matter ? Semiparametric Conditional Independence Tests Using the Policy Propensity Score

@inproceedings{Angrist2005DoesMP,
  title={Does Monetary Policy Matter ? Semiparametric Conditional Independence Tests Using the Policy Propensity Score},
  author={Joshua David Angrist and Guido M. Kuersteiner and Alberto Abadie and Xiaohong Chen and Jordi Gal{\'i} and Simon G. Gilchrist and Stefan Hoderlein},
  year={2005}
}
Macroeconomists have long been concerned with the causal effects of monetary policy. When the identification of causal effects is based on a selection-on-observables assumption, non-causality amounts to the conditional independence of outcomes and policy changes. This paper develops a semiparametric test for conditional independence in time series models linking a binary policy variable with unobserved potential outcomes. Our approach to conditional independence testing is motivated by Romer… CONTINUE READING

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