Research Discussion Paper – RDP 2025-03 Fast Posterior Sampling in Tightly Identified SVARs Using ‘Soft’ Sign Restrictions
May 2025
Contents
- Introduction
- Framework
- Algorithms
- Numerical Illustration and Monte Carlo Experiments
- Empirical Application: Demand and Supply Shocks in the Oil Market
- Conclusion
- Appendix A: Proofs
- Appendix B: Additional Empirical Results
- References
We thank Joshua Chan, Thorsten Drautzburg, Toru Kitagawa, James Morley, Yong Song and Benjamin Wong for helpful comments. We also thank participants at the 2023 Continuing Education in Macroeconometrics workshop, the 2023 Time Series and Forecasting Symposium and the 2024 Econometric Society Australasia Meeting. The views expressed in this paper are those of the authors and should not be attributed to the Reserve Bank of Australia. Any errors are the sole responsibility of the authors.