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I wanted to learn how time series analysis is used to study monetary policy/ money and banking data, such as how and which techniques are used to study which data, what kind of problems are studied with which techniques, how are effects of policies gauged etc.
What are some good books/ online courses or other resources for that?
For time series analysis a classical text is the time series analysis from Hamilton - although nowadays the text is slightly outdated it has an excellent and detailed overview of models that are still in use or serve as basis for more advance models.
The time series and panel data econometrics from Pesaran is also excellent - it’s also more contemporary but also deals with models not used in monetary economics.
If you have no background in econometrics the introduction to modern econometrics from Wooldridge is really good. Or also Verbeeks guide to modern macroeconomics has good treatment of time series models and in terms of difficulty it is somewhere between Wooldridge and Hamilton or Pesaran.
For a more practical handbook I would recommend international macroeconomics and finance from Nelson, and if you care mainly about forecasting and policy evaluation the kind usually done in central banks or ministries of finance economic forecasting and policy from Carnot, Koen and Tissot is quite good practical text
The effects of monetary policy tend to be represented with multivariate time series. The main issues for causal identification are the usual simultaneity that arises in all multiple equations models and the foresight issues stemming from the central bank's private information. A good accessible overview of identification strategies used to solve them can be found in Valerie Ramey's "Macroeconomic Shocks and Their Propagation".
There is relevant estimation method that is rapidly gaining in popularity and I have not seen treated in a textbook yet - Jorda's local projections. It is all over the place in applied macroeconomics and it has been used in finance (at least in the Jorda-Schularick-Taylor series of papers).
