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)
Pages: 61 pages
Date: 2016-12-01
New Economics Papers: this item is included in nep-ets and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
https://www.frbatlanta.org/-/media/documents/resea ... svars-2017-10-12.pdf Full text (application/pdf)

Related works:
Journal Article: Narrative Sign Restrictions for SVARs (2018)
Working Paper: Narrative Sign Restrictions for SVARs (2017)
Working Paper: Narrative Sign Restrictions for SVARs (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedawp:2016-16

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta Contact information at EDIRC.
Bibliographic data for series maintained by Rob Sarwark ().