Granular Instrumental Variables

• 成果类型: Article
• 署名作者: Gabaix, Xavier; Koijen, Ralph S. J.
• 署名单位: Harvard University; University of Chicago
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/728743
• 发表日期: 2024
• 页码: 2274-2303
• 关键词: identification; DYNAMICS; origins; shocks; FIRMS

摘要

We develop a new method 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. Idiosyncratic shocks to these large players significantly affect aggregate outcomes and are valid instruments. We provide a methodology to extract these idiosyncratic shocks to create granular instrumental variables (GIVs), which are size-weighted sums of idiosyncratic shocks. We show how GIVs enable us to estimate causal parameters, such as elasticities and multipliers, and are applicable in a broad range of empirically relevant settings.