Work

Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions

Year: 2020

Type: report

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.

Source: National Bureau of Economic Research

DOI: 10.3386/w26606

Authors: Christiane Baumeister, James Hamilton

Institutions: University of Notre Dame, National Bureau of Economic Research, University of California San Diego

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3122822985

Cites: 118

Cited by: 8

Related to: 10