Kocięcki, Andrzej (2017): Fully Bayesian Analysis of SVAR Models under Zero and Sign Restrictions.

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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, RubioRamírez 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.
Item Type:  MPRA Paper 

Original Title:  Fully Bayesian Analysis of SVAR Models under Zero and Sign Restrictions 
Language:  English 
Keywords:  Set identified Structural VAR, Sign restrictions, Monetary policy, Bayesian 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C11  Bayesian Analysis: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C18  Methodological Issues: General C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables E  Macroeconomics and Monetary Economics > E5  Monetary Policy, Central Banking, and the Supply of Money and Credit E  Macroeconomics and Monetary Economics > E5  Monetary Policy, Central Banking, and the Supply of Money and Credit > E52  Monetary Policy 
Item ID:  81094 
Depositing User:  Andrzej Kociecki 
Date Deposited:  04 Sep 2017 15:38 
Last Modified:  04 Sep 2017 15:38 
References:  Arias, J.E., D. Caldara and J.F. Rubio–Ramírez (2016), “The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure”, mimeo. Arias, J.E., J.F. Rubio–Ramírez and D.F. Waggoner (2016), “Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications”, Federal Reserve Bank of Atlanta. Baumeister, C. and J.D. Hamilton (2015), “Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information”, Econometrica, 83, pp. 1963–1999. Beaudry, P., D. Nam and J. Wang (2014), “Do Mood Swings Drive Business Cycles and is it Rational?”, NBER Working Papers. Christiano, L.J., M. Eichenbaum and C.L. Evans (1999), “Monetary Policy Shocks: What Have We Learned and to What End?”, in: J.B. Taylor and M. Woodford, eds., Handbook of Macroeconomics, vol. I, North–Holland. Gafarov, B. and J.L. Montiel Olea (2015), “On the Maximum and Minimum Response to an Impulse in SVARs”, mimeo. Giacomini, R. and T. Kitagawa (2015), “Robust Inference about Partially Identified SVARs”, mimeo. James, A.T. (1954), “Normal Multivariate Analysis and the Orthogonal Group”, Annals of Mathematical Statistics, 25, pp. 40–75. Kocięcki, A. (2010), “A Prior for Impulse Responses in Bayesian Structural VAR models”, Journal of Business & Economic Statistics, 28, pp. 115–127. Mangasarian, O.L. (1994), Nonlinear Programming, SIAM, Philadelphia. Moon, H.R., F. Schorfheide and E. Granziera (2013), “Inference for VARs Identified with Sign Restrictions”, mimeo. Mountford, A. and H. Uhlig (2009) “What are the Effects of Fiscal Policy Shocks?”, Journal of Applied Econometrics, 24 , pp. 960–992. Muirhead, R.J. (1982), Aspects of Multivariate Statistical Theory, John Wiley & Sons. Rubio–Ramírez, J.F, D.F. Waggoner and T. Zha (2010), “Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference”, The Review of Economic Studies, 77, pp. 665–696. Schrijver, A. (1986), Theory of Linear and Integer Programming, John Wiley & Sons, Chichester. Sims, C.A. (1992), “Interpreting the macroeconomic time series facts: The effects of monetary policy”, European Economic Review, 36, pp. 975–1011. Uhlig, H. (2005), “What Are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure”, Journal of Monetary Economics, 52, pp. 381–419. 
URI:  https://mpra.ub.unimuenchen.de/id/eprint/81094 