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John H. Cochrane

Commenting on Christina and David Romer's claim that active Federal Reserve policy ended postwar recessions, Cochrane argues that their historical narrative cannot distinguish a Fed that reacts to …

Zhengyang Chen · Victor J. Valcarcel

This 2024 Macroeconomic Dynamics paper by Zhengyang Chen and Victor J. Valcarcel asks whether the long-documented instability of U.S.

John W. Keating · Logan J. Kelly · A. Lee Smith · Victor J. Valcarcel

This 2019 Journal of Money, Credit and Banking paper by John Keating, Logan Kelly, A. Lee Smith, and Victor Valcarcel asks whether replacing the federal funds rate with Divisia M4 (DM4) -- a …

Gary Koop · Dimitris Korobilis

This 2014 European Economic Review paper by Gary Koop and Dimitris Korobilis develops a time-varying-parameter factor-augmented VAR (TVP-FAVAR) with dynamic model averaging (DMA) to construct a …

Christina D. Romer · David H. Romer

This 2004 American Economic Review paper by Christina D. Romer and David H.

Régis Barnichon · Geert Mesters

This 2023 American Economic Review paper by Régis Barnichon and Geert Mesters develops a theoretical framework, with an empirical application to U.S. monetary policy, for evaluating whether current …

Jesús Fernández-Villaverde · Juan F. Rubio-Ramírez · Thomas J. Sargent · Mark W. Watson

This 2007 American Economic Review paper by Fernández-Villaverde, Rubio-Ramírez, Sargent, and Watson asks when the structural economic shocks in a DSGE model's state-space representation can be …

Paolo Giordani

This 2004 Journal of Monetary Economics paper by Paolo Giordani offers an analytical and empirical alternative to the Sims (1992) forward-looking-information explanation of the "price puzzle" — the …

Olivier Coibion

This 2012 American Economic Journal: Macroeconomics paper by Olivier Coibion asks why standard recursive VARs and the Romer-Romer (2004) narrative approach produce such different estimates of the real …

Jean Boivin · Marc Giannoni

This 2002 FRBNY Economic Policy Review paper by Jean Boivin and Marc Giannoni asks whether the transmission of monetary policy shocks to U.S. output and inflation changed after the early 1980s, and if …

Christoph Grosse-Steffen · Laura Pagenhardt · Malte Rieth

A central debate in fiscal policy is whether fiscal rules—numerical constraints on budget deficits or debt levels—impair a government's ability to respond to adverse economic shocks, creating a …

James H. Stock · Mark W. Watson

This 2012 Brookings Papers on Economic Activity paper by James Stock and Mark Watson asks whether the unusual severity of the 2007-09 recession and the weakness of the recovery that followed required …

José Luis Montiel Olea · Mikkel Plagborg-Møller · Eric Qian · Christian Wolf

This paper provides formal theoretical results on the relative robustness of local projection (LP) and vector autoregression (VAR) confidence intervals for impulse response inference when the data …

Stephen D. Morris

This 2017 Journal of Economic Dynamics & Control paper by Stephen D. Morris is a methodological contribution explaining why maximum-likelihood or Bayesian estimates of DSGE structural parameters often …

Òscar Jordà · Sharon Kozicki

This 2011 International Economic Review paper by Óscar Jordà and Sharon Kozicki proposes "projection minimum distance" (PMD), a two-step semiparametric estimator for macroeconomic models whose …

Òscar Jordà

This 2005 American Economic Review paper by Òscar Jordà introduces "local projections" (LP) — a way to estimate impulse responses directly from a sequence of single-horizon regressions of the future …

Kirstin Hubrich · Yves S. Schüler · Daniel Waggoner

This paper investigates the role of leverage of financial institutions in amplifying the transmission of financial shocks to the macroeconomy, with particular attention to whether that amplification …

Sophocles N. Brissimis · Nicholas S. Magginas

This 2006 Journal of Monetary Economics paper by Sophocles Brissimis and Nicholas Magginas asks whether augmenting a standard monetary VAR with forward-looking information can resolve the "price …

Emmanuel De Veirman · Jasper De Jong

De Veirman and de Jong develop a new approach to estimating the macroeconomic effects of changes in regulatory loan-to-value (LTV) limits on mortgage loans. The central questions are: (1) how do …

David O. Cushman · Tao Zha

This 1997 Journal of Monetary Economics paper by David Cushman and Tao Zha addresses the "exchange rate puzzle" and "price puzzle" that plague conventional recursive (Choleski) VAR studies of monetary …

Mikkel Plagborg-Møller · Christian K. Wolf

This 2022 Journal of Political Economy paper by Mikkel Plagborg-Møller and Christian K. Wolf asks what an external instrument (a proxy correlated with one structural shock and uncorrelated with the …

Atsushi Inoue · Lutz Kilian

This 2022 Journal of Econometrics paper by Atsushi Inoue and Lutz Kilian develops a Bayesian decision-theoretic framework for reporting inference about an entire vector of structural VAR impulse …

Andrea Carriero · Todd E. Clark · Massimiliano Marcellino

This 2019 Journal of Econometrics paper by Andrea Carriero, Todd Clark, and Massimiliano Marcellino develops a computationally efficient Markov Chain Monte Carlo (MCMC) algorithm for estimating large …

José Luis Montiel Olea · Mikkel Plagborg-Møller

This 2021 Econometrica paper by José Luis Montiel Olea and Mikkel Plagborg-Møller studies what inference procedure applied researchers should use for local-projection (LP) estimates of impulse …

Ke-Li Xu

This paper develops a uniform asymptotic theory for local projection (LP) regression under general conditions, addressing a gap in the literature where existing results required restrictive …

Òscar Jordà · Alan M. Taylor

This 2025 Journal of Economic Literature survey takes stock of local projections (LP) as a general framework for estimating impulse responses, arguing that LPs "help bridge the divide between current …

Mikkel Plagborg-Møller · Christian K. Wolf

This 2021 Econometrica paper by Mikkel Plagborg-Møller and Christian K. Wolf proves that local-projection (LP) and vector-autoregression (VAR) based impulse-response estimators are, at the population …

Dake Li · Mikkel Plagborg-Møller · Christian K. Wolf

This 2024 Journal of Econometrics paper by Dake Li, Mikkel Plagborg-Møller, and Christian K. Wolf asks a purely practical question rather than proposing a new estimator or identification scheme: when …

Valerie A. Ramey

This 2016 Handbook of Macroeconomics chapter by Valerie Ramey surveys how macroeconomists identify structural shocks to monetary policy, fiscal policy, and technology, and how those shocks propagate …

Ben S. Bernanke · Ilian Mihov

Bernanke and Mihov (1998, QJE) address a measurement problem in the monetary-VAR literature: the era's dominant methods for extracting a "monetary policy shock" -- Cholesky orderings built around the …

Ben S. Bernanke · Jean Boivin · Piotr Eliasz

This 2005 Quarterly Journal of Economics paper by Ben Bernanke, Jean Boivin, and Piotr Eliasz proposes the Factor-Augmented VAR (FAVAR) to address a specific problem with standard small monetary VARs: …

Zhengyang Chen · Victor J. Valcarcel

This 2025 Journal of Economic Dynamics and Control paper by Zhengyang Chen and Victor J. Valcarcel proposes a "rational expectations structural VAR" (RE-SVAR) — a way to embed rational expectations …

S. Mahdi Barakchian · Christopher Crowe

This 2013 Journal of Monetary Economics paper by S. Mahdi Barakchian and Christopher Crowe argues that the standard toolkit for identifying monetary policy shocks -- recursive VARs …

Lawrence J. Christiano · Martin Eichenbaum · Charles L. Evans

This chapter in the 1999 Handbook of Macroeconomics (Volume 1) by Lawrence Christiano, Martin Eichenbaum, and Charles Evans surveys and unifies the VAR-based literature on identifying monetary policy …

Zhengyang Chen · Victor J. Valcarcel

This 2021 Journal of Economic Dynamics and Control paper by Zhengyang Chen and Victor Valcarcel shows that the Wu-Xia (2016) shadow federal funds rate — a standard modern-sample proxy for the stance …

Michael Binder · M. Hashem Pesaran

This 1997 Econometric Theory paper by Michael Binder and M. Hashem Pesaran is a purely theoretical and computational contribution to solving multivariate linear rational expectations (RE) models -- it …

Thomas Drechsel

This paper combines a hand-collected archival data set of over 800 personal interactions between U.S. Presidents and Federal Reserve officials from 1933 to 2016 with a narrative structural VAR to …

John H. Cochrane

Surveying the evidence for monetary, technology, oil-price, and credit shocks as drivers of postwar U.S. business cycles, Cochrane finds that none of these popular observable candidates robustly …

José Luis Montiel Olea · Mikkel Plagborg-Møller

This 2019 Journal of Applied Econometrics paper by José Luis Montiel Olea and Mikkel Plagborg-Møller addresses a practical problem in applied time-series econometrics: which "simultaneous" (joint, …

John W. Keating

This 1992 Federal Reserve Bank of St. Louis Review paper (a policy review, not peer-reviewed) by John W.

David B. Gordon · Eric M. Leeper

This 1994 Journal of Political Economy paper by David B. Gordon and Eric M.

John H. Cochrane

Using band-pass spectral filters on weekly U.S. data from the Federal Reserve's 1979-82 nonborrowed-reserve-targeting period, Cochrane finds a negative short-run correlation between money growth and …

Jonas E. Arias · Dario Caldara · Juan F. Rubio-Ramírez

This 2019 Journal of Monetary Economics paper by Jonas Arias, Dario Caldara, and Juan Rubio-Ramírez proposes identifying monetary policy shocks in a structural VAR by placing sign and zero …

Giorgio E. Primiceri

This 2005 Review of Economic Studies paper by Giorgio Primiceri develops a Bayesian time-varying-parameter structural VAR (TVP-SVAR) with stochastic volatility — allowing not just the VAR coefficients …

Marco Del Negro · Giorgio E. Primiceri

This 2015 Review of Economic Studies corrigendum identifies and fixes a flaw in the Gibbs-sampling algorithm that Primiceri (2005) used to estimate time-varying-parameter structural VARs with …

Nathan S. Balke · Kenneth M. Emery

This 1994 Federal Reserve Bank of Dallas Economic Review paper by Nathan S. Balke and Kenneth M.

Jonas E. Arias · Juan F. Rubio-Ramírez · Daniel F. Waggoner

Structural vector autoregressions (SVARs) identified with sign restrictions are a widely used tool for estimating dynamic causal effects in macroeconomics. Critics—notably Baumeister and Hamilton …

Stephen D. Morris

This 2016 Economics Letters paper by Stephen D. Morris asks how concise the VARMA (vector autoregressive moving-average) representation of a DSGE model can be made, and whether the model's structural …

James H. Stock · Mark W. Watson

This 2001 Journal of Economic Perspectives paper by James Stock and Mark Watson reviews how vector autoregressions (VARs) have performed at the four core tasks of applied macroeconometrics — data …

Federico Ravenna

This 2007 Journal of Monetary Economics paper by Federico Ravenna asks a purely methodological question with direct consequences for structural VAR (SVAR) practice: under what conditions does a DSGE …

Harald Uhlig

This 2005 Journal of Monetary Economics paper by Harald Uhlig proposes an "agnostic" sign-restriction procedure for identifying monetary policy shocks in a VAR, designed to test rather than assume the …

John H. Cochrane

Even after monetary policy shocks are "correctly" identified in a VAR, Cochrane argues a further, purely theoretical identifying assumption -- whether anticipated money can affect output -- is needed …

Eric M. Leeper · Christopher A. Sims · Tao Zha

This 1996 Brookings Papers on Economic Activity paper by Eric Leeper, Christopher Sims, and Tao Zha asks what monetary policy actually does, and argues that the answer the identified-VAR literature …