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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w28204 |
来源ID | Working Paper 28204 |
Granular Instrumental Variables | |
Xavier Gabaix; Ralph S. J. Koijen | |
发表日期 | 2020-12-14 |
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. In the economies we study, a few large firms, industries or countries account for an important share of economic activity. As the idiosyncratic shocks from these large players affect aggregate outcomes, they are valid and often powerful instruments. We provide a methodology to extract idiosyncratic shocks from the data and create “granular instrumental variables” (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 illustrate the idea in a basic supply and demand framework. GIVs provide a novel approach to identify both supply and demand elasticities based on idiosyncratic shocks to either supply or demand. We then show how to extend the basic procedure to cover a range of empirically relevant situations. As an application, we measure how “sovereign yield shocks” transmit across countries in the Eurozone. We sketch how GIVs could be useful to estimate a host of other causal parameters in economics. |
主题 | Econometrics ; Macroeconomics ; International Economics ; Financial Economics |
URL | https://www.nber.org/papers/w28204 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585878 |
推荐引用方式 GB/T 7714 | Xavier Gabaix,Ralph S. J. Koijen. Granular Instrumental Variables. 2020. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w28204.pdf(928KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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