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Home | Events Archive | Inference in Time-Varying SVARs Identified with Sign Restrictions
Seminar

Inference in Time-Varying SVARs Identified with Sign Restrictions

  • Series
    Erasmus Econometric Institute Series
  • Speaker(s)
    Jonas Arias (Federal Reserve Bank of Philadelphia, United States)
  • Field
    Econometrics, Operations Analytics, Data Science and Econometrics
  • Location
    Erasmus University Rotterdam, Campus Woudestein, ET-14
    Rotterdam
  • Date and time

    May 06, 2025
    12:00 - 13:00

Abstract

We propose an approach for Bayesian inference in time-varying structural vector autoregressions (SVARs) identified with sign restrictions. The linchpin of our approach is a class of rotation-invariant time-varying SVARs in which the prior and posterior densities of any sequence of structural parameters belonging to the class are invariant to orthogonal transformations of the sequence. Our methodology is new to the literature. In contrast to existing algorithms for inference based on sign restrictions, our algorithm is the first to draw from a uniform distribution over the sequences of orthogonal matrices given the reduced-form parameters. We illustrate our procedure for inference by analyzing the role played by monetary policy during the latest inflation surge.

Link to paper.