Replication data for: Narrative Sign Restrictions for SVARs

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Project Citation:

Antolín-Díaz, Juan, and Rubio-Ramírez, Juan F. Replication data for: Narrative Sign Restrictions for SVARs. Nashville, TN: American Economic Association [publisher], 2018. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113168V1

Project Description

Summary: 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.

Scope of Project

JEL Classification:
      C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
      E52 Monetary Policy
      Q35 Hydrocarbon Resources
      Q43 Energy and the Macroeconomy

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Published Versions

V1 [2019-10-12]

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DDI 2.5

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