Farrant and Peersman JMCB 2006—VAR with Sign Restrictions

[TomDoan]

farrant_peersman_jmcb2006.zip is a set of replication files for K. Farrant and G. Peersman(2006), "Is the Exchange Rate a Shock Absorber or a Source of shocks? New Empirical Evidence", Journal of Money, Credit and Banking, vol 38, no. 4, pp 939-961.. From the abstract:

"This paper analyses the role of the real exchange rate in a structural vector autoregression framework for the United Kingdom, Euro area, Japan, and Canada vis-a-vis the United States. A new identification strategy is proposed building on sign restrictions. The results are compared to the bench-mark conventional approach of Clarida and Gali (1994) based on long- run zero restrictions. Although the restrictions are derived from the same theoretical model, the results are strikingly different. In contrast to the benchmark model, an important role for nominal shocks in explaining real exchange rate fluctuations is found. Hence, the exchange rate can rather be considered as a source of shocks instead of a shock absorber."

This uses sign restrictions to generate a full SVAR for 3 and 4 variable models.

Detailed Description

[Jamels]

Hello,
I made a blog about it.

https://www.jamelsaadaoui.com/svar-with ... sing-rats/

Comments and remarks are very welcome.

Kind regards,
Jamel

https://www.jamelsaadaoui.com/

[economics99]

Has anyone added a historical decomposition to this that they could share?