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Narrative Sign Restrictions for SVARs

Juan Antolin-Diaz and Juan F Rubio-Ramirez ()

No 2016-16, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: 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.

Keywords: narrative information; SVARs; Bayesian approach; sign restrictions; oil market; monetary policy (search for similar items in EconPapers)
JEL-codes: C32 E52 Q35 (search for similar items in EconPapers)
Date: 2016-12-01, Revised 2017-10-01
New Economics Papers: this item is included in nep-ets and nep-mac
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Related works:
Journal Article: Narrative Sign Restrictions for SVARs (2018) Downloads
Working Paper: Narrative Sign Restrictions for SVARs (2017) Downloads
Working Paper: Narrative Sign Restrictions for SVARs (2016) Downloads
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