Narrative Sign Restrictions for SVARs

• 成果类型: Article
• 署名作者: Antolin-Diaz, Juan; Rubio-Ramirez, Juan F.
• 署名单位: Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20161852
• 发表日期: 2018
• 页码: 2802-2829
• 关键词: structural vector autoregressions; MONETARY-POLICY SURPRISES; Tax changes; shocks; OIL; identification; matter; inference; MARKET

摘要

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.