Since (a) you're not using any \tnote directives, (b) the caption is quite short, and (c) one of the main but so-far unaddressed formatting tasks is to keep the tabular material from exceeding \textwidth, I don't think that using a threeparttable environment is all that useful.
Just employ a tabularx environment to allow line breaks in the header cells and typeset the longish legend as ordinary text below the tabularx environment.
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\documentclass{article}\usepackage{booktabs,tabularx,ragged2e}\newcolumntype{C}{>{\Centering\hspace{0pt}}X}\usepackage[skip=0.333\baselineskip]{caption}\usepackage[english=american]{csquotes} % select suitable language options\begin{document}\begin{table}\setlength\tabcolsep{3.5pt} % default: 6pt\caption{Identifying Sign Restrictions}\begin{tabularx}{\textwidth}{@{} >{\itshape}l *{6}{C} @{}}\toprule & Gov. Rev & Gov. Exp & Interest Rate & DFPA & GDP & Inflation \\ \midruleBusiness Cycle shock &$+$& & & &$+$&$+$ \\Monetary Policy shock & & &$-$& &$+$&$+$ \\DFPA shock &$+$&$-$& &$-$& & \\\bottomrule\end{tabularx}\medskip\textit{Note}: This table shows the sign restrictions on the impulse responses for each identified shock. A~\enquote{$+$} means that the impulse response of the variable in question is restricted to be positive for six months following the shock, including the month of impact. Likewise, a~\enquote{$-$} indicates a negative response. A blank entry indicates that no restrictions have been imposed.\end{table}\end{document}