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

Christiane Baumeister and James Hamilton

No 26606, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: C30 E5 F2 (search for similar items in EconPapers)
Date: 2020-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
Note: EFG ME
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Citations: View citations in EconPapers (38)

Published as Christiane Baumeister & James D. Hamilton, 2020. "Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions," Journal of International Money and Finance, vol 109.

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Related works:
Journal Article: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions (2020)
Working Paper: Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions (2020)
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