We prove that local projections (LPs) and Vector Autoregressions (VARs) estimate the same
impulse responses. This nonparametric result only requires unrestricted lag structures. We …

Central bank announcements simultaneously convey information about monetary policy and
the central bank's assessment of the economic outlook. This paper disentangles these two …

In this paper, we develop algorithms to independently draw from a family of conjugate
posterior distributions over the structural parameterization when sign and zero restrictions …

I argue that the seemingly disparate findings of the recent empirical literature on monetary
policy transmission are all consistent with the same standard macro models. Weak sign …

Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed
tax cuts better than deficit-financed spending to increase output? These questions have …

Simultaneous confidence bands are versatile tools for visualizing estimation uncertainty for
parameter vectors, such as impulse response functions. In linear models, it is known that that …

Point estimates and error bands for SVARs that are set identified are only justified if the
researcher is persuaded that some parameter values are a priori more plausible than others …

Macroeconomists increasingly use external sources of exogenous variation for causal
inference. However, unless such external instruments (proxies) capture the underlying …

I propose to estimate structural impulse responses from macroeconomic time series by
doing Bayesian inference on the Structural Vector Moving Average representation of the …

We study vector autoregressions that impose equality and/or inequality restrictions to set-
identify the dynamic responses to a single structural shock. We make three contributions …