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

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  • Christiane Baumeister
  • James D. Hamilton

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.

Suggested Citation

  • Christiane Baumeister & James D. Hamilton, 2020. "Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions," NBER Working Papers 26606, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:26606
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    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • F2 - International Economics - - International Factor Movements and International Business

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