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Identification with external instruments in structural VARs
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Miranda-Agrippinoa, Silvia and Ricco, Giovanni (2023) Identification with external instruments in structural VARs. Journal of Monetary Economics, 135 . pp. 1-19. doi:10.1016/j.jmoneco.2023.01.006 ISSN 0304-3932.
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Official URL: https://doi.org/10.1016/j.jmoneco.2023.01.006
Abstract
IV methods have become the leading approach to identify the effects of macroeconomic shocks. Conditions for identification generally involve all the shocks in the VAR even when only a subset of them is of interest. This paper provides more general conditions that only involve the shocks of interest and the properties of the instrument of choice. We introduce a heuristic and a formal test to guide the specification of the empirical models, and provide formulas for the bias when the conditions are violated. We apply our results to the study of the transmission of conventional and unconventional monetary policy shocks.
| Item Type: | Journal Article | ||||||||
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| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory H Social Sciences > HG Finance Q Science > QA Mathematics |
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| Divisions: | Faculty of Social Sciences > Economics | ||||||||
| Library of Congress Subject Headings (LCSH): | Monetary policy -- Econometric models, Autoregression (Statistics), Regression analysis, Macroeconomics -- Mathematical models, Econometrics | ||||||||
| Journal or Publication Title: | Journal of Monetary Economics | ||||||||
| Publisher: | Elsevier BV | ||||||||
| ISSN: | 0304-3932 | ||||||||
| Official Date: | April 2023 | ||||||||
| Dates: |
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| Volume: | 135 | ||||||||
| Page Range: | pp. 1-19 | ||||||||
| DOI: | 10.1016/j.jmoneco.2023.01.006 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
| Date of first compliant deposit: | 26 November 2021 | ||||||||
| RIOXX Funder/Project Grant: |
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