| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11517 |
| DP11517 Narrative Sign Restrictions for SVARs | |
| Juan Francisco Rubio-Ramírez; Juan Antolin-Diaz | |
| 发表日期 | 2016-09-20 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | This paper identies structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and the historical decomposition of the data around key historical events, ensuring that they agree with the established account of these episodes. Using models of the oil market and monetary policy, we show that narrative sign restrictions can be highly informative. In particular we highlight that adding a small number of narrative sign restrictions, or sometimes even a single one, dramatically sharpens and even changes the inference of SVARs originally identied via the established practice of placing sign restrictions only on the impulse response functions. We see our approach as combining the appeal of narrative methods with the desire for basing inference on a few uncontroversial restrictions that popularized the use of sign restrictions. |
| 主题 | Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp11517 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540331 |
| 推荐引用方式 GB/T 7714 | Juan Francisco Rubio-Ramírez,Juan Antolin-Diaz. DP11517 Narrative Sign Restrictions for SVARs. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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