Overview
Ilian Mihov is a macroeconomist (INSEAD) whose work with Ben Bernanke on identifying monetary policy shocks from VAR systems is a key reference in the structural VAR literature. Their data and identification framework became the benchmark for subsequent sign-restriction and agnostic identification studies, including Uhlig (2004).
Key Contributions / Features
- Bernanke-Mihov (1998a) "Measuring Monetary Policy" (Quarterly Journal of Economics 113(3): 869–902): General model of the Fed's operating procedures allowing the policy instrument to be a weighted combination of reserves and the federal funds rate; point-identified via a structural system governing the reserves market.
- Bernanke-Mihov (1998b) (Carnegie-Rochester Conference Series on Public Policy 49): Companion paper; the monthly 6-variable data series (real GDP, GDP deflator, commodity prices, total reserves, nonborrowed reserves, federal funds rate) constructed here is the standard benchmark dataset for VAR monetary policy studies, used extensively by Uhlig (2004), Faust (1998), and Canova-de Nicoló (2002).
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