Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/324801 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Working Papers No. 25-3
Verlag: 
Federal Reserve Bank of Boston, Boston, MA
Zusammenfassung: 
We introduce a method that exploits some non-Gaussian features of structural shocks to identify structural vector autoregression (SVAR) models. More specifically, we propose combining inequality restrictions on the higher-order moments of the structural shocks of interest with other set-identifying constraints, typically sign restrictions. We illustrate how, in both large and small sample settings, higher-order moment restrictions considerably narrow the identification of monetary policy shocks compared with what is obtained with minimal sign restrictions typically used in the SVAR literature. The proposed methodology also provides new insights into the macroeconomic effects of sovereign risk in the euro area as well as the transmission of geopolitical risk to the US economy.
Schlagwörter: 
Shock identification
skewness
kurtosis
sign restrictions
monetary policy
sovereign risk
geopolitical risk
JEL: 
C32
E27
E32
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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