Narrative Sign Restrictions for SVARs
提出在结构向量自回归中使用叙事符号约束，即根据关键历史事件的公认叙事来约束结构冲击和历史分解，并用石油市场和货币政策模型展示其能显著提升推断效果。
We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and/or the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using models of the oil market and monetary policy, we show that narrative sign restrictions tend to be highly informative. Even a single narrative sign restriction may dramatically sharpen and even change the inference of SVARs originally identified via traditional sign restrictions. Our approach combines the appeal of narrative methods with the popularized usage of traditional sign restrictions.