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FRB Atlanta Working Paper
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 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.
Cite this item
Juan Antolin-Diaz & Juan F. Rubio-Ramirez, Narrative Sign Restrictions for SVARs, Federal Reserve Bank of Atlanta, FRB Atlanta Working Paper 2016-16, 01 Dec 2016, revised 01 Oct 2017.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- Q35 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Hydrocarbon Resources
Keywords: narrative information; SVARs; Bayesian approach; sign restrictions; oil market; monetary policy
This item with handle RePEc:fip:fedawp:2016-16
is also listed on EconPapers
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