External sources of as‐if randomness—that is, external instruments—can be used to identify
the dynamic causal effects of macroeconomic shocks. One method is a one‐step …

Structural vector autoregressive (SVAR) models are frequently applied to trace the
contemporaneous linkages among (macroeconomic) variables back to an interplay of …

Financial market responses to Fed monetary policy announcements are often very small, but
sometimes very large and the mix of news contained in these announcements varies over …

Two recent strands of the structural vector autoregression literature use higher moments for
identification, exploiting either non-Gaussianity or heteroskedasticity. These approaches …

We consider estimation of the structural vector autoregression (SVAR) by the generalized
method of moments (GMM). Given non-Gaussian errors and a suitable set of moment …

Increasing energy efficiency is often considered to be one of the main ways of reducing
greenhouse gas emissions. However, efficiency gains that reduce the cost of energy …

Oil prices contain information on global shocks of key relevance for monetary policy
decisions. We propose a novel approach to identify these shocks at the daily frequency in a …

I propose to identify an SVAR, up to shock ordering, using the autocovariance structure of
the squared innovations implied by an arbitrary stochastic process for the shock variances …

When quantifying the importance of supply and demand for oil price fluctuations, a wide
range of estimates have been reported. Models identified via a sharp upper bound on the …

The median and median target estimates in sign-restricted SVARs are driven by a highly
informative prior for the set-identified structural parameters. This paper proposes an …