Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions

被引：17
|
作者：
Baumeister, Christiane [1 ]
Hamilton, James D. [2 ]
机构：
[1] Univ Notre Dame, Notre Dame, IN 46556 USA
[2] Univ Calif San Diego, San Diego, CA 92103 USA
来源：
JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2020年 / 109卷
关键词：
MONETARY-POLICY SHOCKS; OIL PRICE SHOCKS; EXCHANGE-RATE; TECHNOLOGY SHOCKS; INTERNATIONAL TRANSMISSION; AGNOSTIC IDENTIFICATION; CAPITAL INFLOWS; SUPPLY SHOCKS; ASSET PRICES; REAL;
D O I：
10.1016/j.jimonfin.2020.102250
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. (C) 2020 Elsevier Ltd. All rights reserved.
引用
收藏
页数：9
相关论文
共 14 条
12