Revisiting the effects of monetary policy shocks: Evidence from SVAR with narrative sign restrictions

The quest for economic stability: a study on Swedish stabilisation policies 1873–2019

“…While no method is without its weaknesses, the SVAR model approach is the most commonly used with extensive applications in in economic history (see for example, Perry & Vernengo, 2013;Rousseau & Stroup, 2011;Sabaté, Gadea, & Escario, 2006;Shibamoto & Shizume, 2014), economics (see for example, Auerbach & Gorodnichenko, 2012;Bakaert, Hoerova, & Duca, 2013;Cheng & Yang, 2020;Christiano et al, 1999), and among policy organisations such as OECD and central banks (see for example Jensen & Pedersen, 2019;Kim, 2017;Villani & Varne, 2003). The use of the high-frequency method is of course limited in economic history where the access to minuteby-minute trading data is rare.…”

Microeconomic Factors Identifying Life Cycle Stage And Macroeconomic Factors Enhancing Development

“…Also expansionary monetary policy encourages investment in research and development (R&D) and lead to an increase in output (Jorda et al, 2020). Tightening on monetary policy has decreased R&D in dynamics and tightening monetary shocks induce real GDP to drop (Cheng & Yang, 2020;Moran & Queralto, 2018).…”

Identification and Inference Under Narrative Restrictions

“…Ludvigson, Ma and Ng (2018) independently propose restricting the sign or magnitude of the structural shocks in specific periods. A burgeoning empirical literature has adopted similar restrictions, including Ben Zeev (2018), Furlanetto and Robstad (2019), Cheng and Yang (2020), Inoue and Kilian (2020), Zhou (2020a, 2020b), Laumer (2020), Redl (2020), Zhou (2020) and Ludvigson, Ma and Ng (2020). The fact that these restrictions are placed on the shocks rather than the parameters raises novel problems related to identification, estimation and inference.…”