Identifying structural VARs from sparse narrative instruments

Dynamic effects of US macroprudential policies

Bibliographic Data

ID21653330
AuthorsKatarzyna Budnik (European Central Bank, Sonnemannstrasse 20 Frankfurt am Main Germany), Gerhard Rünstler (0000-0002-3437-7012, European Central Bank, Sonnemannstrasse 20 Frankfurt am Main Germany, corresponding author)
Year2023
Volume38
Issue2
Pages186-201
Publication date2023-03-01
Peer ReviewedYes
Open AccessYes
TypeARTICLE
VenueJournal of Applied Econometrics (JOURNAL)
Journal identifiersISSN: 1099-1255 • E-ISSN: 0883-7252
PublisherWiley (PUBLISHER • GB)
DOI10.1002/jae.2945
OpenAlexW4308933718
LanguageEN
Citations received1
References cited37

We study identification in Bayesian proxy VARs for instruments that consist of sparse qualitative observations indicating the signs of shocks in specific periods. We propose the Fisher discriminant regression and a non‐parametric sign concordance criterion as two alternative methods for achieving correct inference in this case. The former represents a minor deviation from a standard proxy VAR, whereas the non‐parametric approach builds on set identification. Our application to US macroprudential policies finds persistent declines in credit volumes and house prices together with moderate declines in GDP and inflation and a widening of corporate bond spreads after a tightening of capital requirements or mortgage underwriting standards

Bayesian inference · Bayesian probability · Bayesian vector autoregression · Econometrics · Economics · Statistics · Credit Risk and Financial Regulations · Italy: Economic History and Contemporary Issues · Mathematics · Monetary Policy and Economic Impact

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Open DOIOpen Access