| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13765 |
| DP13765 Identifying Modern Macro Equations with Old Shocks | |
| Régis Barnichon; Geert Mesters | |
| 发表日期 | 2019-05-28 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Despite decades of research, the consistent estimation of structural forward looking macroeconomic equations remains a formidable empirical challenge because of pervasive endogeneity issues. Prominent cases ---the estimation of Phillips curves, of Euler equations for consumption or output, or of monetary policy rules--- have typically relied on using pre-determined variables as instruments, with mixed success. In this work, we propose a new approach that consists in using sequences of independently identified structural shocks as instrumental variables. Our approach is robust to weak instruments and is valid regardless of the shocks' variance contribution. We estimate a Phillips curve using monetary shocks as instruments and find that conventional methods (i) substantially under-estimate the slope of the Phillips curve and (ii) over-estimate the role of forward-looking inflation expectations. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Structural equations Instrumental variables Impulse responses Robust inference |
| URL | https://cepr.org/publications/dp13765 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542631 |
| 推荐引用方式 GB/T 7714 | Régis Barnichon,Geert Mesters. DP13765 Identifying Modern Macro Equations with Old Shocks. 2019. |
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