Narrative Restrictions and Proxies

References

• Antolín-Díaz, J., and Rubio-Ramírez, J. F. (2018), “Narrative Sign Restrictions for SVARs,” American Economic Review, 108, 2802–2829. DOI: 10.1257/aer.20161852.
   Web of Science ®Google Scholar
• Arias, J. E., Rubio-Ramírez, J. F., and Waggoner, D. F. (2018), “Inference Based on Structural Vector Autoregressions Identified with Sign and Zero Restrictions: Theory and Applications,” Econometrica, 86, 685–720. DOI: 10.3982/ECTA14468.
   Web of Science ®Google Scholar
• Badinger, H., and Schiman, S. (forthcoming), “Measuring Monetary Policy in the Euro Area Using SVARs with Residual Restrictions,” American Economic Journal: Macroeconomics.
   Google Scholar
• Baumeister, C., and Hamilton, J. D. (2015), “Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information,” Econometrica, 83, 1963–1999. DOI: 10.3982/ECTA12356.
   Web of Science ®Google Scholar
• Ben Zeev, N. (2018), “What Can We Learn About News Shocks from the Late 1990s and Early 2000s Boom-bust Period?” Journal of Economic Dynamics and Control, 87, 94–105. DOI: 10.1016/j.jedc.2017.12.003.
   Web of Science ®Google Scholar
• Berger, T., Richter, J., and Wong, B. (2022), “A Unified Approach for Jointly Estimating the Business and Financial Cycle, and the Role of Financial Factors,” Journal of Economic Dynamics and Control, 136, 104315. DOI: 10.1016/j.jedc.2022.104315.
   Web of Science ®Google Scholar
• Boer, L., and Lütkepohl, H. (2021), “Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis,” Journal of Economic Dynamics and Control, 127, 104118. DOI: 10.1016/j.jedc.2021.104118.
   Web of Science ®Google Scholar
• Budnik, K., and Rünstler, G. (2020), “Identifying SVARs from Sparse Narrative Instruments: Dynamic Effects of U.S. Macroprudential Policies,” European Central Bank Working Paper No. 2353.
   Google Scholar
• Caggiano, G., Castelnuovo, E., Delrio, S., and Kima, R. (2021), “Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly,” European Economic Review, 136, 103750. DOI: 10.1016/j.euroecorev.2021.103750.
   Web of Science ®Google Scholar
• Cheng, K., and Yang, Y. (2020), “Revisiting the Effects of Monetary Policy Shocks: Evidence from SVAR with Narrative Sign Restrictions,” Economics Letters, 196, 109598. DOI: 10.1016/j.econlet.2020.109598.
   Web of Science ®Google Scholar
• Furlanetto, F., and Robstad, Ø. (2019), “Immigration and the Macroeconomy: Some New Empirical Evidence,” Review of Economic Dynamics, 34, 1–19. DOI: 10.1016/j.red.2019.02.006.
   Web of Science ®Google Scholar
• Giacomini, R., and Kitagawa, T. (2021), “Robust Bayesian Inference for Set-identified Models,” Econometrica, 89, 1519–1556. DOI: 10.3982/ECTA16773.
   Web of Science ®Google Scholar
• Giacomini, R., Kitagawa, T., and Read, M. (2021a), “Identification and Inference Under Narrative Restrictions,” arXiv: 2102.06456 [econ.EM].
   Google Scholar
• Giacomini, R. (2021b), “Robust Bayesian Analysis for Econometrics,” Centre for Economic Policy Research Discussion Paper DP16488.
   Google Scholar
• Inoue, A., and Kilian, L. (forthcoming): “Joint Bayesian Inference about Impulse Responses in VAR Models,” Journal of Econometrics.
   Google Scholar
• Kilian, L., and Zhou, X. (2020), “Does Drawing Down the US Strategic Petroleum Reserve Help Stabilize Oil Prices?” Journal of Applied Econometrics, 35, 673–691. DOI: 10.1002/jae.2798.
   Web of Science ®Google Scholar
• Kilian, L. (2022), “Oil Prices, Exchange Rates and Interest Rates,” Journal of International Money and Finance, 126, 102679.
   Google Scholar
• Laumer, S. (2020), “Government Spending and Heterogeneous Consumption Dynamics,” Journal of Economic Dynamics and Control, 114, 103868. DOI: 10.1016/j.jedc.2020.103868.
   Web of Science ®Google Scholar
• Ludvigson, S. C., Ma, S., and Ng, S. (2018), “Shock Restricted Structural Vector-Autoregressions,” National Bureau of Economic Research Working Paper No. 23225.
   Google Scholar
• Ludvigson, S. C. (2021), “Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?” American Economic Journal: Macroeconomics, 13, 369–410. DOI: 10.1257/mac.20190171.
   Web of Science ®Google Scholar
• Lunsford, K. G. (2015), “Identifying Structural VARs with a Proxy Variable and a Test for a Weak Proxy,” Federal Reserve Bank of Cleveland Working Paper 15-28.
   Google Scholar
• Maffei-Faccioli, N., and Vella, E. (2021), “Does Immigration Grow the Pie? Asymmetric Evidence from Germany,” European Economic Review, 138, 103846. DOI: 10.1016/j.euroecorev.2021.103846.
   Web of Science ®Google Scholar
• Mertens, K., and Ravn, M. O. (2013), “The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States,” American Economic Review, 103, 1212–1247. DOI: 10.1257/aer.103.4.1212.
   Web of Science ®Google Scholar
• Montiel Olea, J. L., Stock, J. H., and Watson, M. W. (2021), “Inference in Structural Vector Autoregressions Identified with an External Instrument,” Journal of Econometrics, 225, 74–87. DOI: 10.1016/j.jeconom.2020.05.014.
   Web of Science ®Google Scholar
• Plagborg-Møller, M., and Wolf, C. K. (2021a), “Local Projections and VARs Estimate the Same Impulse Responses,” Econometrica, 89, 955–980. DOI: 10.3982/ECTA17813.
   Web of Science ®Google Scholar
• Plagborg-Møller, M. (2021b), “Supplement to “Local Projections and VARs Estimate the Same Impulse Responses”,” Econometrica, 89, 955–980.
   Web of Science ®Google Scholar
• Read, M. (forthcoming), “The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions,” Reserve Bank of Australia Research Discussion Paper.
   Google Scholar
• Redl, C. (2020), “Uncertainty Matters: Evidence from Close Elections,” Journal of International Economics, 124, 103296. DOI: 10.1016/j.jinteco.2020.103296.
   Web of Science ®Google Scholar
• Stock, J. H., and Watson, M. W. (2016), “Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics,” in Handbook of Macroeconomics (Vol. 2), eds. J. B. Taylor, and H. Uhlig, 415–525, Amsterdam: Elsevier.
   Google Scholar
• Stock, J. H. (2018), “Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments,” The Economic Journal, 128, 917–948.
   Web of Science ®Google Scholar
• Uhlig, H. (2005), “What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure,” Journal of Monetary Economics, 52, 381–419. DOI: 10.1016/j.jmoneco.2004.05.007.
   Web of Science ®Google Scholar
• Zhou, X. (2020), “Refining the Workhorse Oil Market Model,” Journal of Applied Econometrics, 35, 130–140. DOI: 10.1002/jae.2743.
   Web of Science ®Google Scholar