Details

Autor(en) / Beteiligte

• Baumeister, Christiane
• Hamilton, James D.

Titel

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

Ist Teil von

• Journal of international money and finance, 2021-06, Vol.114, p.102405, Article 102405

Ort / Verlag

Elsevier Ltd

Erscheinungsjahr

2021

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• 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.