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.

01. January 2020

Authors Christiane Baumeister James D. Hamilton

Whom to contact

For Researchers

Professor Christiane Baumeister, PhD
Professor Christiane Baumeister, PhD
Economist

If you have any further questions please contact me.

Request per E-Mail

For Journalists

Mitglied der Leibniz-Gemeinschaft LogoTotal-Equality-LogoWeltoffen Logo