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Using the global dimension to identify shocks with sign restrictions

Michael Fidora () and Alexander Chudik

No 1318, Working Paper Series from European Central Bank

Abstract: Identification of structural VARs using sign restrictions has become increasingly popular in the academic literature. This paper (i) argues that identification of shocks can benefit from introducing a global dimension, and (ii) shows that summarising information by the median of the available impulse responses JEL Classification: C32, E17, F37, F41, F47

Keywords: global VAR; identification of shocks; oil shocks; sign restrictions; VAR (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ene, nep-ifn and nep-opm
Date: 2011-04
Note: 491968
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20111318

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