Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions

Christiane Baumeister and James D. Hamilton

Journal of International Money and Finance, 2020, vol. 109, issue C

Abstract: This paper discusses the problems associated with using information about the signs of certain magnitudes as a basis for drawing structural conclusions in vector autoregressions. We also review available tools to solve these problems. For illustration we use Dahlhaus and Vasishtha’s (2019) study of the effects of a U.S. monetary contraction on capital flows to emerging markets. We explain why sign restrictions alone are not enough to allow us to answer the question and suggest alternative approaches that could be used.

Date: 2020
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Related works:
Working Paper: Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions (2020)
Working Paper: Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620302060

DOI: 10.1016/j.jimonfin.2020.102250

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