IDENTIFYING MODERN MACRO EQUATIONS WITH OLD SHOCKS

• 成果类型: Article
• 署名作者: Barnichon, Regis; Mesters, Geert
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Pompeu Fabra University; Vrije Universiteit Amsterdam
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjaa022
• 发表日期: 2020
• 页码: 2255-2298
• 关键词: monetary-policy surprises; intertemporal substitution; macroeconomic stability; rational-expectations; inflation dynamics; phillips-curve; interest-rates; identification; tests; gmm

摘要

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, Euler equations, or monetary policy rules-have typically relied on using predetermined variables as instruments, with mixed success. In this work, we propose a new approach that consists in using sequences of independently identified 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 find that conventional methods substantially underestimate the slope of the Phillips curve.