We propose a new instrument to identify the impact of uncertainty shocks in a SVAR model with external instruments. We construct the instrument for uncertainty shocks by exploiting variations in the price of gold around selected events. The events capture periods of changes in uncertainty...

This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a...

Structural VAR models are frequently identified using sign restrictions on contemporaneous impulse responses. We develop a methodology that can handle a set of prior distributions that is much larger than the one currently allowed for by traditional methods. We then develop an importance sampler...