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We propose the Fisher discriminant regression and a non\u2010parametric sign concordance criterion as two alternative methods for achieving correct inference in this case. The former represents a minor deviation from a standard proxy VAR, whereas the non\u2010parametric approach builds on set identification. Our application to US macroprudential policies finds persistent declines in credit volumes and house prices together with moderate declines in GDP and inflation and a widening of corporate bond spreads after a tightening of capital requirements or mortgage underwriting standards.<\/jats:p>","DOI":"10.1002\/jae.2945","type":"journal-article","created":{"date-parts":[[2022,11,11]],"date-time":"2022-11-11T03:54:51Z","timestamp":1668138891000},"page":"186-201","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies"],"prefix":"10.1002","volume":"38","author":[{"given":"Katarzyna","family":"Budnik","sequence":"first","affiliation":[{"name":"European Central Bank, Sonnemannstrasse 20  Frankfurt am Main Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Gerhard","family":"R\u00fcnstler","sequence":"additional","affiliation":[{"name":"European Central Bank, Sonnemannstrasse 20  Frankfurt am Main Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2023,1,18]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/71.1.1"},{"key":"e_1_2_8_3_1","unstructured":"Allison B.(2008).Convergence failures in logistic regression. 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