Identifying modern macro equations with old shocks
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- dc.contributor.author Barnichon, Régis
- dc.contributor.author Mesters, Geert
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2020-05-25T09:27:00Z
- dc.date.available 2020-05-25T09:27:00Z
- dc.date.issued 2019-05-08
- dc.date.modified 2020-05-25T09:26:00Z
- dc.description.abstract 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 identied 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 nd that conventional methods (i) substantially under-estimate the slope of the Phillips curve and (ii) over-estimate the role of forward-looking in ation expectations.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1659
- dc.identifier.citation
- dc.identifier.uri http://hdl.handle.net/10230/44744
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1659
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword structural equations
- dc.subject.keyword instrumental variables
- dc.subject.keyword impulse responses
- dc.subject.keyword robust inference.
- dc.subject.keyword Macroeconomics and International Economics
- dc.title Identifying modern macro equations with old shocks
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper