Narrative sign restrictions for SVARs

Arbeitspapier

We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and 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 are highly informative. We highlight that adding a single narrative sign restriction dramatically sharpens and even changes 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2016-16

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 ; Monetary Policy ; Hydrocarbon Resources
• Subject: narrative information ; SVARs ; Bayesian approach ; sign restrictions ; oil market ; monetary policy

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Antolín-Díaz, Juan ; Rubio-Ramírez, Juan Francisco
• Event: Veröffentlichung
• (who): Federal Reserve Bank of Atlanta
• (where): Atlanta, GA
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/172913
• Last update: 10.03.2025, 11:43 AM CET