G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11517
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
URLhttps://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.
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