Yucheng Yang, Tao Zha
arXiv 5 Aug 2026 · Econometrics
arXiv:2608.05017 · PDF · Extracted main text
Every SVAR result is conditional on two choices: the restrictions that identify the shock and the variables on which they operate. The literature disciplines the first; the second is chosen by hand. We develop a Bayesian methodology that constructs information sets, uses an out-of-sample criterion, and retains the largest system it admits. Under recursive identification, output rises with housing production rather than household credit alone. For monetary policy, an anchor-free joint Bayesian proxy SVAR with multiple instruments strengthens the credit spread channel. A core system augmented with the selected corporate spread identifies expected default risk as a potent transmission margin.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Eric T. Swanson (2020) Measuring the effects of federal reserve forward guidance and asset purchases on financial markets | 1.000 | 8 | 3 | 100% |
| 2 | Edward E. Leamer (2007) Housing is the business cycle | 0.928 | 4 | 3 | 100% |
| 3 | Edward E. Leamer (2015) Housing really is the business cycle: What survives the lessons of 2008–09? | 0.928 | 4 | 3 | 100% |
| 4 | Dario Caldara and Edward Herbst (2019) Monetary policy, real activity, and credit spreads: Evidence from Bayesian proxy SVARs | 0.811 | 4 | 2 | 100% |
| 5 | Shihao Gu, Bryan Kelly, and Dacheng Xiu (2020) Empirical asset pricing via machine learning | 0.737 | 3 | 2 | 100% |
| 6 | Daniel F. Waggoner and Tao Zha (2003) A gibbs sampler for structural vector autoregressions self | 0.737 | 3 | 2 | 100% |
| 7 | Domenico Giannone, Michele Lenza, and Giorgio E. Primiceri (2021) Economic predictions with big data: The illusion of sparsity | 0.644 | 2 | 2 | 100% |
| 8 | Karsten Müller and Emil Verner (2024) Credit allocation and macroeconomic fluctuations | 0.644 | 2 | 2 | 100% |
| 9 | Matthew Rognlie, Andrei Shleifer, and Alp Simsek (2018) Investment hangover and the great recession | 0.644 | 2 | 2 | 100% |
| 10 | Christopher A. Sims and Tao Zha (1999) Error bands for impulse responses self | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 35 scored citations.