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Fully Bayesian Analysis of SVAR Models under Zero and Sign Restrictions

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  • Kocięcki, Andrzej
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    Abstract

    The paper proposes the methodologically sound method to deal with set identified Structural VAR (SVAR) models under zero and sign restrictions. What distinguishes our method from that proposed by Arias, Rubio-Ramírez and Waggoner (2016) is that we isolated many special cases for which we arrive at more efficient algorithms to draw from the posterior. We illustrate our approach with the help of two serious empirical examples. First of all we challenge the output puzzle found by Uhlig (2005). Second, we check the robustness of the results given by Beaudry et al. (2014) concerning impact of optimism shocks on economy.

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    File URL: https://mpra.ub.uni-muenchen.de/81094/1/MPRA_paper_81094.pdf
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    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 81094.

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    Date of creation: 23 Aug 2017
    Handle: RePEc:pra:mprapa:81094
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    Keywords: Set identified Structural VAR; Sign restrictions; Monetary policy; Bayesian;

    Find related papers by JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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    1. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
    2. Jonas E. Arias & Juan Rubio-Ramirez & Daniel F. Waggoner, 2013. "Inference Based on SVARs Identied with Sign and Zero Restrictions: Theory and Applications," Working Papers 2013-24, FEDEA.
    3. Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 665-696.
    4. Andrew Mountford & Harald Uhlig, 2009. "What are the effects of fiscal policy shocks?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 960-992.
    5. Sims, Christopher A., 1992. "Interpreting the macroeconomic time series facts : The effects of monetary policy," European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June.
    6. Jonas E. Arias & Dario Caldara & Juan F. Rubio-Ramírez, 2014. "The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure," Working Papers 2014-13, FEDEA.
    7. Christiane Baumeister & James D. Hamilton, 2015. "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information," Econometrica, Econometric Society, vol. 83(5), pages 1963-1999, 09.
    8. Arias, Jonas & Caldara, Dario & Rubio-Ramírez, Juan Francisco, 2016. "The Systematic Component of Monetary Policy in SVARs: An Agnostic Identi," CEPR Discussion Papers 11674, C.E.P.R. Discussion Papers.
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