| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP15531
|
| DP15531 Granular Instrumental Variables |
| Xavier Gabaix; Ralph Koijen
|
| 发表日期 | 2020-12-07
|
| 出版年 | 2020
|
| 语种 | 英语
|
| 摘要 | We propose a new way to construct instruments in a broad class of economic environments: “granular instrumental variables” (GIVs). In the economies we study, a few large firms, in- dustries or countries account for an important share of economic activity. As the idiosyncratic shocks from these large players a↵ect aggregate outcomes, they are valid and often powerful instruments. We provide a methodology to extract idiosyncratic shocks from the data in order to create GIVs, which are size-weighted sums of idiosyncratic shocks. These GIVs allow us to then estimate parameters of interest, including causal elasticities and multipliers.
We first illustrate the idea in a basic supply and demand framework: we achieve a novel identification of both supply and demand elasticities based on idiosyncratic shocks to either supply or demand. We then show how the procedure can be enriched to work in many sit- uations. We provide illustrations of the procedure with two applications. First, we measure how “sovereign yield shocks” transmit across countries in the Eurozone. Second, we estimate short-term supply and demand multipliers and elasticities in the oil market. Our estimates match existing ones that use more complex and labor-intensive (e.g., narrative) methods. We sketch how GIVs could be useful to estimate a host of other causal parameters in economics. |
| 主题 | Financial Economics
; Industrial Organization
; International Macroeconomics and Finance
; Macroeconomics and Growth
; Monetary Economics and Fluctuations
|
| URL | https://cepr.org/publications/dp15531
|
| 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/544533
|
推荐引用方式
GB/T 7714 |
Xavier Gabaix,Ralph Koijen. DP15531 Granular Instrumental Variables. 2020.
|
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