Research Discussion Paper – RDP 2026-01 Shock-percentile Restrictions for SVARs

Contents

• Introduction
• Framework
• Challenges with Eliciting Bounds on Shocks
• Shock-percentile Restrictions
• Uncertainty and Business Cycles Revisited
• Estimating the Effects of US Monetary Policy
• Conclusion
• Appendix A: Analytical Results and Illustration in Bivariate Model
• Appendix B: Monte Carlo Exercises
• Appendix C: Additional Details about Empirical Exercises
• References

For helpful comments, I thank Efrem Castelnuovo, Jarkko Jääskelä, Gabriela Nodari, participants at the 2025 Workshop of the Australasian Macroeconomics Society, the 2025 OzMac Workshop and the Inaugural AE² Conference, and seminar participants at the University of Sydney and the Reserve Bank of Australia. I am particularly grateful to James Morley for discussing the paper at the Inaugural AE² Conference. The views expressed in this paper are those of the author and should not be attributed to the Reserve Bank of Australia. Any errors are the sole responsibility of the author.