"Sign-dependent proxy-SVAR: Shock Asymmetry"

Proxy-SVARs are widely used to identify dynamic causal effects under the assumption of sign symmetry. This paper relaxes that assumption and demonstrates how asymmetric shock transmission can be identified.

"Global Risk Shocks in a Small Open Economy and Their Impact on Monetary Policy Surprises" (2026)  - Link here

This paper studies the macroeconomic effects of global risk shocks in a small open economy and their implications for monetary policy identification. Using a novel proxy for global risk shocks as an external instrument in a proxy-SVAR for Canada, I show that global risk shocks tighten financial conditions and distort high-frequency monetary policy shock identification, leading to an overestimation of monetary policy effects.