Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies
利用稀疏叙事工具识别结构VAR：美国宏观审慎政策的动态效应
Summary We study identification in Bayesian proxy VARs for instruments that consist of sparse qualitative observations indicating the signs of shocks in specific periods. We propose the Fisher discriminant regression and a non‐parametric sign concordance criterion as two alternative methods for achieving correct inference in this case. The former represents a minor deviation from a standard proxy VAR, whereas the non‐parametric approach builds on set identification. Our…