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To this end, I augment a time-varying vector autoregressive model (VAR) with a series of monetary policy surprises obtained from federal funds futures, as a proxy for structural monetary policy shocks.
The series of surprises enters the model as an exogenous variable and I show analytically that this approach gives identical relative impulse responses compared with an identification that uses the proxy as an external instrument within a constant parameter VAR.
Adjusting for differences in coupon rates and values of embedded deflation options, the results show a small, positive premium on recently issued TIPS that persists after new similar TIPS are issued and hence is different from the on-the-run phenomenon observed in the Treasury market.
This paper estimates the time-varying responses of stock and house prices to changes in monetary policy in the United States.
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