Narrative Sign Restrictions for SVARs
We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and/or the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using mode...
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| Published in: | The American economic review Vol. 108; no. 10; pp. 2802 - 2829 |
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| Main Authors: | , |
| Format: | Journal Article |
| Language: | English |
| Published: |
Nashville
American Economic Association
01.10.2018
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| ISSN: | 0002-8282, 1944-7981 |
| Online Access: | Get full text |
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| Abstract | We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and/or the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using models of the oil market and monetary policy, we show that narrative sign restrictions tend to be highly informative. Even a single narrative sign restriction may dramatically sharpen and even change the inference of SVARs originally identified via traditional sign restrictions. Our approach combines the appeal of narrative methods with the popularized usage of traditional sign restrictions. |
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| AbstractList | We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and/or the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using models of the oil market and monetary policy, we show that narrative sign restrictions tend to be highly informative. Even a single narrative sign restriction may dramatically sharpen and even change the inference of SVARs originally identified via traditional sign restrictions. Our approach combines the appeal of narrative methods with the popularized usage of traditional sign restrictions. We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and/or the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using models of the oil market and monetary policy, we show that narrative sign restrictions tend to be highly informative. Even a single narrative sign restriction may dramatically sharpen and even change the inference of SVARs originally identified via traditional sign restrictions. Our approach combines the appeal of narrative methods with the popularized usage of traditional sign restrictions. (JEL C32, E52, Q35, Q43) |
| Author | Rubio-Ramírez, Juan F. Antolín-Díaz, Juan |
| Author_xml | – sequence: 1 givenname: Juan surname: Antolín-Díaz fullname: Antolín-Díaz, Juan organization: Research Department, Fulcrum Asset Management, Marble Arch House 66 Seymour Street, London, W1H 5BT, UK – sequence: 2 givenname: Juan F. surname: Rubio-Ramírez fullname: Rubio-Ramírez, Juan F. organization: Economics Department,Emory University, Rich Memorial Building, Room 306, Atlanta, GA 30322, Federal Reserve Bank of Atlanta, and BBVA Research |
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| SubjectTerms | Economic models Historical events Inference Monetary policy Narratives Petroleum Regression analysis Restrictions |
| Title | Narrative Sign Restrictions for SVARs |
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