Identification with External Instruments in Structural VARs

• 成果类型: Article
• 署名作者: Miranda-Agrippino, Silvia; Ricco, Giovanni
• 署名单位: Bank of England; Bank of England; University of Warwick; Centre for Economic Policy Research - UK; University of Warwick
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.01.006
• 发表日期: 2023
• 页码: 1-19
• 关键词: Identification with external instruments; structural VAR; INVERTIBILITY; monetary policy shocks; C36; C32; E30; E52

摘要

IV methods have become the leading approach to identify the effects of macroeconomic shocks. Conditions for identification generally involve all the shocks in the VAR even when only a subset of them is of interest. This paper provides more general conditions that only involve the shocks of interest and the properties of the instrument of choice. We introduce a heuristic and a formal test to guide the specification of the empirical models, and provide formulas for the bias when the conditions are violated. We apply our results to the study of the transmission of conventional and unconventional monetary policy shocks.(c) 2023 Published by Elsevier B.V.