A new posterior sampler for Bayesian structural vector autoregressive models

• 成果类型: Article
• 署名作者: Bruns, Martin; Piffer, Michele
• 署名单位: University of East Anglia; University of London; King's College London
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE2207
• 发表日期: 2023
• 页码: 1221-1250
• 关键词: Sign restrictions; Bayesian inference; monetary policy shocks; C11; C32; E50

摘要

We develop an importance sampler for sign restricted Bayesian structural vector autoregressive models. The algorithm nests as a special case the sampler associated with the popular Normal inverse Wishart Uniform prior, while allowing to move beyond such prior in medium sized models. We then propose a prior on contemporaneous impulse responses that provides flexibility on the magnitude and shape of the impact responses. We illustrate the quantitative relevance of the choice of the prior in an application to US monetary policy shocks. We find that the real effects of monetary policy shocks are stronger under our proposed prior than in the Normal inverse Wishart Uniform setup.