Some Issues in Using Sign Restrictions for Identifying Structural VARs

By Renée Fry, Adrian R. Pagan. 2007

168 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a3fc4f6f19d143dfd7472ec8e69dde7e4fe76899

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Citations in the corpus

Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows (2017, methodology): “To identify an UMP shock, we follow the approach of Gambacorta et al. (2014) that allows us to distinguish between an exogenous innovation to the Fed balance sheet (UMP shock) and an endogenous reaction of the central bank to the state of the economy.”
The effectiveness of unconventional monetary policy at the zero lower bound : a cross-country analysis (2014, methodology): “The variance decomposition is performed based on the median target method of Fry and Pagan (2007).”
The Impact of Monetary Policy on Inequality in the UK. An Empirical Analysis (2017, background): “As pointed out in Fry and Pagan (2007), this procedure provides set identi(cid:133)cation and delivers a distribution of contemporaneous impact matrices that are admissible under the sign restrictions.”
How Do Credit Supply Shocks Propagate Internationally? A Gvar Approach (2015, methodology): “We implement the sign restrictions using the approach suggested by Rubio-Ramírez et al. (2010) and Fry and Pagan (2007), as follows.”
THE IDENTIFICATION OF FISCAL AND MONETARY POLICY IN A STRUCTURAL VAR (2009, methodology): “where S is a diagonal matrix of the structural standard deviations, in the current case B0 is as described in equation (23), and Q is dened as a Givens matrix as follows:”
Why Agnostic Sign Restrictions are not Enough: Understanding the Dynamics of Oil Market VAR Models (2009, methodology): “For one thing, the concerns over the use of median responses articulated in Fry and Pagan (2007) remain valid even in this case.”
Asset Prices, Exchange Rates and the Current Account (2007, methodology): “As noted by Fry and Pagan (2007), there are conceptual problems related to the selection of the median impulse response, resulting from the multiplicity of impulse vectors.”
Oil and the Macroeconomy: A Quantitative Structural Analysis (2012, unknown): “We also explored whether, as argued by Fry and Pagan (2007), the sign restriction approach is flawed because the impulse response functions that are generated likely violate the assumption that structural innovations are orthogonal.”
In Search for Yield? Survey-Based Evidence on Bank Risk Taking (2014, methodology): “The sign restrictions are implemented using the methodologies proposed by Fry and Pagan (2007) and Rubio-Ramírez et al.”
Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2010, background): “15 Given the fact that an SVAR with only sign restrictions is not identiﬁed, one important task is to ﬁnd a set of impulse responses that satisfy the same sign restrictions (Fry and Pagan, 2007).”
Real Effects of Quantitative Easing at the Zero-Lower Bound: Structural VAR-Based Evidence from Japan (2011, methodology): “at the same time (Fry and Pagan, 2007). First, since the median over k summarizes information obtained from different models, the reported structural impulse response functions may be hard to interpret. Second, and related, since two shocks may be generated from two different models, the structural ”
Business cycle measurement with some theory (2011, background): “While pathological examples can always be constructed (see Paustian, 2007 or Fry and Pagan, 2007), relative variance differences become a serious problem only in extreme circumstances.”
Monetary policy and exchange rate overshooting: Dornbusch was right after all* (2009, background): “This paper strongly cautions against allowing for exchange rate puzzles to develop into consensus for the following reason: Although relying on sign restrictions is a useful way of testing the implications of alternative short term restrictions, this approach implies a weak form of identification th”
The Impact of Monetary Policy Shocks on Commodity Prices (2012, unknown): “While in our view sign restrictions are a useful tool in SVAR analysis, we acknowledge that they have been the subject of some criticism, given that all percentiles of the distribution in this case are computed across different rotations, which correspond to different models (Fry and Pagan 2007).”
How Do Fiscal and Technology Shocks Affect Real Exchange Rates? New Evidence for the United States (2008, methodology): “Fry and Pagan (2007) point out that the posterior distribution of impulse responses is a distribution across different identified models such that the median impulse response functions to tw o shocks are generated by two different impulse matrices. Consequently, the identified shocks asso ciated wit”
The Effects of Discretionary Fiscal Policy on Macroeconomic Aggregates: A Reappraisal (2011, unknown): “Fry and Pagan (2007) and Paustian (2007) provide a detailed discussion on the use of sign restrictions for identification.”