restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign‐restricted SVARs …

shock proxies on the estimated impulse responses from these SVAR models. We show via a Monte Carlo experiment that … uncertainty shock proxy as an instrument to identify the underlying shock does not suffer from this bias. Applying this proxy SVAR …

matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse …

financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock … is negative, but not when the shock is positive. …

financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock … is negative, but not when the shock is positive …

structural vector autoregression (SVAR): imposing ‘narrative restrictions’ (NR) on the shock signs in an otherwise set …-identified SVAR; and casting the information about the shock signs as a discrete-valued ‘narrative proxy’ (NP) to point-identify the … impulse responses. The NP is likely to be ‘weak’ given that the sign of the shock is typically known in a small number of …