Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions
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.
The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.
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. citation courtesy of