Template-Type: ReDIF-Paper 1.0

Author-Name: Sergey Ivashchenko
Author-Email: sergey.ivashchenko.ru@gmail.com
Author-Workplace-Name: Bank of Russia, Russian Federation

Title: Sector-Specific Supply and Demand Shocks: Joint Identification

Abstract: This article proposes a technique for computing sign restrictions in large-scale models. 
The technique is applied to a Bayesian vector autoregression (BVAR) model with 16 industries 
(16 growth rates, 16 inflations), and the interest rate. 
The results demonstrate that the suggested tech-nique can yield different implications for the density 
of relevant measures compared to the con-ventional random draw approach. Shocks identification is more 
accurate for suggested approach in experiments with simulated from DSGE model data. 
The usage of industry specific data and identification of demand and supply shock have large influence 
on identification of MP-shocks. It reveals important elements of transmission mechanics of monetary policy 
including differences in magnitude and shape of responses on MP-shocks, differences in historical decomposition, 
differ-ences in importance of demand and supply shocks for interest rates dynamic. Variance decompo-sition shows 
decrease of relative importance of its own shocks to industries with switching from short-run to long-run decomposition. 
There are some similarities with input-output tables and some differences those open questions for future researches.

Length: 32 pages
Creation-Date: 2024-06
Revision-Date:
Publication-Status:
File-URL: https://www.cbr.ru/StaticHtml/File/161597/wp_129.pdf
File-Format: Application/pdf
File-Function:
Number: wps129
Classification-JEL: C32, C51, E32, E52
Keywords: sign-restriction, BVAR, VAR, SVAR
Handle:RePEc:bkr:wpaper: wps129