| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14271 |
| DP14271 Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions | |
| Christiane Baumeister; James Hamilton | |
| 发表日期 | 2020-01-04 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper discusses the problems associated with using information about the signs of certain magnitudes as a basis for drawing structural conclusions in vector autoregressions. We also review available tools to solve these problems. For illustration we use Dahlhaus and Vasishtha’s (2019) study of the effects of a U.S. monetary contraction on capital flows to emerging markets. We explain why sign restrictions alone are not enough to allow us to answer the question and suggest alternative approaches that could be used. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Structural vector autoregressions Sign restrictions Identified set Informative priors Bayesian inference monetary policy Capital flows |
| URL | https://cepr.org/publications/dp14271 |
| 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/543162 |
| 推荐引用方式 GB/T 7714 | Christiane Baumeister,James Hamilton. DP14271 Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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