We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and six. Focusing on the four-shock specification, we identify, using sign...

We empirically analyze the effects of monetary policy shocks on real fixed investment using panel data on Japanese manufacturing firms to examine the existence of a balance sheet channel. We find that contractionary monetary policy statistically significantly increases the firms’ liquidity...

This paper develops tests for overidentifying restrictions in Factor-Augmented Vector Autoregressive (FAVAR) models. The identification of structural shocks in FAVAR can involve infinitely many restrictions as the number of cross sections goes to infinity. Our focus is to test the joint null...

We employ a set of sign restrictions on the impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2–2011Q2, as well as bounds on impact price elasticities of oil supply and oil demand to discriminate between supply-driven and demand-driven oil-price...

Are exogenous shocks to lending spreads in corporate credit markets a substantial source of macroeconomic fluctuations? An alternative explanation of the data is that borrowing costs respond endogenously to expectations of future default, driven by macroeconomic shocks. We investigate by...

Bank bailouts generate risk spillovers between the default risks of banks and governments. This paper quantifies the effects of bank bailouts and measures the interdependence risk between the banking sector and government for the US and six European countries. The approach allows to distinguish...

This paper examines the ability of vector autoregressive (VAR) models to properly identify the transmission of monetary policy in a controlled experiment. Simulating data from a small open economy DSGE model estimated for Australia, we find that sign-restricted VAR models do reasonably well at...

We consider an economy where the oil price, industrial production, and other macroeconomic variables fluctuate in response to a variety of fundamental shocks. We estimate the effects of different structural shocks using robust sign restrictions suggested by theory using US data for the 1973-2007...

Skepticism toward traditional identifying assumptions based on exclusion restrictions has led to a surge in the use of structural VAR models in which structural shocks are identified by restricting the sign of the responses of selected macroeconomic aggregates to these shocks. Researchers...