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1 juillet 2018
- handle: 10670/1.e0zf5k
- hal: hal-03475454
- SCIENCESPO: 2441/sb7ftvod18eb8hqptthmmeddt
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info:eu-repo/semantics/altIdentifier/hdl/2441/sb7ftvod18eb8hqptthmmeddt
info:eu-repo/semantics/OpenAccess
Mots-clés
Identification with external instruments Structural VAR Invertibility Monetary Policy Shocks C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E30 - General E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary PolicySujets proches
Monetary managementCiter ce document
Silvia Miranda Agrippino et al., « Identification with external instruments in structural VARs under partial invertibility », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.e0zf5k
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Résumé
This paper discusses the conditions for indentification with external instruments in Structural VARs under partial invertibility. We observe that in this case the shocks of interest and their effects can be recovered using an external instrument, provided that a condition of limited lag exogeneity holds. This condition is weaker than that required for LP-IV, and allows for recoverability of impact effects also une VAR misspecification. We assess our claims in a simulated environment, and provide an emirical application to the relevant cas of identification of monetary policy shocks.