Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023 - First Draft: January 9, 2023
Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the restriction that economic theory is not violated, while...