WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS
研究发现仅靠符号约束无法可靠推断石油价格对供需冲击的反应，且常规假设常被违反；结合短期供给弹性等额外约束可缩小解集，得到与排除约束法一致的估计。
Sign restrictions on the responses generated by structural vector autoregressive models have been proposed as an alternative approach to the use of exclusion restrictions on the impact multiplier matrix. In recent years such models have been increasingly used to identify demand and supply shocks in the market for crude oil. We demonstrate that sign restrictions alone are insufficient to infer the responses of the real price of oil to such shocks. Moreover, the conventional assumption that all admissible models are equally likely is routinely violated in oil market models, calling into question the use of posterior median responses to characterize the responses to structural shocks. When combining sign restrictions with additional empirically plausible bounds on the magnitude of the short‐run oil supply elasticity and on the impact response of real activity, however, it is possible to reduce the set of admissible model solutions to a small number of qualitatively similar estimates. The resulting model estimates are broadly consistent with earlier results regarding the relative importance of demand and supply shocks for the real price of oil based on structural vector autoregressive (VAR) models identified by exclusion restrictions, but imply very different dynamics from the posterior median responses in VAR models based on sign restrictions only.