IMF-新凯恩斯宏观模型的符号限制：“准不可知”识别过程的结果（英）

Sign Restrictions with a New-Keynesian Macro Model Results From a “Quasi-Agnostic” Identification Procedure Gregorio Impavido WP/25/162 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2025 AUG* The author(s) would like to thank participants at an IMF seminar and the 2025 IRMC conference for useful comments. The usualcaveat applies.© 2025 International Monetary Fund WP/25/162IMF Working Paper Middle East and Central Asia Department Sign Restrictions with a New-Keynesian Macro Model: Results From a “Quasi-Agnostic” Identification Procedure Prepared by Gregorio Impavido* Authorized for distribution by Ali Al-EydAugust 2025 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT: This paper proposes a “quasi-agnostic” sign restriction procedure to identify structural shocks in frequentist structural vector autoregression (SVAR) models. It argues that low acceptance rates, inherent to agnostic sign restriction procedures, are not necessarily an indication of model misspecification. They can be low because agnostic procedures fail to exploit the ex ante priors on the sign of responses of macro variables to structural shocks. RECOMMENDED CITATION: Impavido, G. (2025) “Sign Restrictions with a New-Keynesian Macro Model: Results From a “Quasi-Agnostic” Identification Procedure”. IMF Working Paper No WP/2025/162JEL Classification Numbers: C32, C51, E12, E32, E52. Keywords: VARs; SVARs; parametric restrictions; sign restrictions. Author’s E-Mail Address: gimpavido@imf.org WORKING PAPERS Sign Restrictions with a New-Keynesian Macro Model Results from a “quasi-agnostic” identification procedure Prepared by Gregorio Impavido1 1 The author(s) would like to thank participants at an IMF seminar and the 2025 IRMC conference for useful comments. The usual caveat applies.. Table of ContentsPage1Introduction12The baseline model23Imposing agnostic sign restrictions54From agnostic to “quasi-agnostic” sign restrictions65Conclusions9References10Appendix: Tables and Figures12List of FiguresPage1Stability condition. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .122Structural impulse responses - recursive model . . . . . . . . . . . . . . . . .133Contemporaneous sign restrictions on IRFs using the SRC procedure 1/ . . .144Ex ante restrictions on structural parameters . . . . . . . . . . . . . . . . . .145Distribution of restricted parameters using alternative identification procedures 156Results from “quasi agnostic” procedure /1 . . . . . . . . . . . . . . . . . . .15List of Tab