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Although in an ideal setting the sign restrictions specify shocks of interest, sign restrictions may be invalidated by measurement errors, data adjustments or omitted variables. We model changes in the volatility of the shocks via a Markov switching (MS) mechanism and use this device to give the data a chance to object to sign restrictions. The approach is illustrated by considering a small model for the market of crude oil. Earlier findings that oil supply shocks explain only a very small fraction of movements in the price of oil are confirmed and it is found that the importance of aggregate demand shocks for oil price movements has declined since the mid 1980s. Copyright \u00a9 2013 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2330","type":"journal-article","created":{"date-parts":[[2013,5,29]],"date-time":"2013-05-29T02:46:44Z","timestamp":1369795604000},"page":"479-496","source":"Crossref","is-referenced-by-count":100,"title":["DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS"],"prefix":"10.1002","volume":"29","author":[{"given":"Helmut","family":"L\u00fctkepohl","sequence":"first","affiliation":[{"name":"Department of Economics Freie Universit\u00e4t Berlin and DIW Berlin  Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Aleksei","family":"Net\u0160unajev","sequence":"additional","affiliation":[{"name":"Department of Economics European University Institute  Florence Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2013,5,28]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1257\/0895330042632708"},{"key":"e_1_2_7_3_1","article-title":"The role of time\u2010varying price elasticities in accounting for volatility changes in the crude oil market","author":"Baumeister C","year":"2012","journal-title":"Journal of Applied Econometrics"},{"key":"e_1_2_7_4_1","doi-asserted-by":"crossref","unstructured":"BenatiL MumtazH.2007.U.S. evolving macroeconomic dynamics: a structural investigation. 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