国际货币基金组织：货币市场的金融冲击：来自UIP溢价的证据（英文版）

This paper proposes a sign-narrative VAR approach to identifying financial shocks in currency markets. The approach imposes minimal sign restrictions shared across canonical exchange rate models, leveraging their key insights while remaining robust to misspecification relative to structural models typically used in the literature. To sharpen the identification, sign restrictions are complemented with narrative restrictions anchored on episodes of well documented FX market dysfunction. Focusin