Narrative Sign Restrictions for SVARs

By Juan Antolín-Díaz, Juan F. Rubio-Ramirez. The American Economic Review, 2018

316 citations recorded by the source corpus.

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)

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/6962a38b2950bc56fddd8cb333bf02620ba7e685

Citations in the corpus

• Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? (2015, unknown): “Other differences are that Antolín-Díaz and Rubio-Ramírez (2018) do not use external variables at all, and their focus is on methodology in a Bayesian context at a general level.”