Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/172913
Authors: 
Antolín-Díaz, Juan
Rubio-Ramírez, Juan Francisco
Year of Publication: 
2016
Series/Report no.: 
Working Paper 2016-16
Abstract: 
We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and 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 are highly informative. We highlight that adding a single narrative sign restriction dramatically sharpens and even changes 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.
Subjects: 
narrative information
SVARs
Bayesian approach
sign restrictions
oil market
monetary policy
JEL: 
C32
E52
Q35
Document Type: 
Working Paper
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