| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13853 |
| DP13853 Identification with External Instruments in Structural VARs under Partial Invertibility | |
| Giovanni Ricco | |
| 发表日期 | 2019-07-12 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | This paper discusses the conditions for identification in SVAR-IVs when only the shock of interest or a subset of the structural shocks can be recovered as a linear combination of the VAR residuals. This condition of partial invertibility is very general, often of empirical relevance, and less stringent than the standard full invertibility that is routinely assumed in the SVAR literature. We show that, under partial invertibility, the dynamic responses can be correctly recovered using an external instrument even when this correlates with leads and lags of other invertible shocks. We call this a limited lead-lag exogeneity condition. We evaluate our results in a simulated environment, and provide an empirical application to the case of monetary policy shocks. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Identification with external instruments Structural var Invertibility Monetary policy shocks |
| URL | https://cepr.org/publications/dp13853 |
| 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/542729 |
| 推荐引用方式 GB/T 7714 | Giovanni Ricco. DP13853 Identification with External Instruments in Structural VARs under Partial Invertibility. 2019. |
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