Identifying SVARs from sparse narrative instruments: Dynamic effects of U.S. macroprudential policies

Arbeitspapier

We study the identification of policy shocks in Bayesian proxy VARs for the case that the instrument consists of sparse qualitative observations indicating the signs of certain shocks. We propose two identification schemes, i.e. linear discriminant analysis and a non-parametric sign concordance criterion. Monte Carlo simulations suggest that these provide more accurate confidence bounds than standard proxy VARs and are more efficient than local projections. Our application to U.S. macroprudential policies finds persistent effects of capital re- quirements and mortgage underwriting standards on credit volumes and house prices together with moderate effects on GDP and in ation.

Object Details

• ISBN: 978-92-899-3996-6
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 2353

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Markets and the Macroeconomy ; Corporate Finance and Governance: Government Policy and Regulation
• Subject: Bayesian Proxy VAR ; Discriminant Analysis ; Sign Concordance ; Capital Requirements ; Mortgage Underwriting Standards

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Budnik, Katarzyna ; Rünstler, Gerhard
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2020

Further information

• DOI: doi:10.2866/756118
• Handle: http://hdl.handle.net/10419/228231
• Last update: 10.03.2025, 11:41 AM CET