Using the global dimension to identify shocks with sign restrictions
Michael Fidora () and
No 1318, Working Paper Series from European Central Bank
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
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20111318
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