The DOI matches its Crossref record; 23 of the 23 references it cites were found in a registry or an index.
Narrative Sign Restrictions for SVARs
Open accessAbstract
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. (JEL C32, E52, Q35, Q43)
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Cites
Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
Kilian, L. (2009) · American Economic Review · doi:10.1257/aer.99.3.1053 · Cited by 4,608
Time Varying Structural Vector Autoregressions and Monetary Policy
Primiceri, G. E. (2005) · The Review of Economic Studies · doi:10.1111/j.1467-937x.2005.00353.x · Cited by 3,030
What are the effects of monetary policy on output? Results from an agnostic identification procedure
Uhlig, H. (2005) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2004.05.007 · Cited by 2,307
The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks
Romer, C. D., & Romer, D. H. (2010) · American Economic Review · doi:10.1257/aer.100.3.763 · Cited by 2,091
Monetary policy surprises and interest rates: Evidence from the Fed funds futures market
Kuttner, K. N. (2001) · Journal of Monetary Economics · doi:10.1016/s0304-3932(01)00055-1 · Cited by 2,049
Identifying Government Spending Shocks: It's all in the Timing*
Ramey, V. A. (2011) · The Quarterly Journal of Economics · doi:10.1093/qje/qjq008 · Cited by 1,661
Bernanke, B. S., & Mihov, I. (1998) · The Quarterly Journal of Economics · doi:10.1162/003355398555775 · Cited by 1,641
A New Measure of Monetary Shocks: Derivation and Implications
Romer, C. D., & Romer, D. H. (2004) · American Economic Review · doi:10.1257/0002828042002651 · Cited by 1,613
Were There Regime Switches in U.S. Monetary Policy?
Sims, C. A., & Zha, T. (2006) · American Economic Review · doi:10.1257/000282806776157678 · Cited by 1,590
THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL
Kilian, L., & Murphy, D. P. (2014) · Journal of Applied Econometrics · doi:10.1002/jae.2322 · Cited by 1,472
Cited by
Local Projections and VARs Estimate the Same Impulse Responses
Plagborg-Møller, M., & Wolf, C. K. (2021) · Econometrica · doi:10.3982/ecta17813 · Cited by 732
The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements
Känzig, D. R. (2021) · American Economic Review · doi:10.1257/aer.20190964 · Cited by 448
Metadata
- Authors
- Antolín-Díaz, J., & Rubio-Ramírez, J. F.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2018-10-01
- Volume
- 108
- Issue
- 10
- Pages
- 2802-2829
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W2524201871
- Cited by
- 346
- References
- 23
- FWCI
- 55.90
- Type
- journal article
- Language
- en
- Open access
- green
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