Econ Papers Daily / 期刊论文
广义外部工具SVAR分析
Generalised External-Instrument SVAR Analysis
摘要
The External-Instrument SVAR-IV (Proxy-SVAR) framework is extended to accommodate non-invertible and non-recoverable shocks, with formal tests provided for recoverability and invertibility. The approach allows the estimation of unitvariance shocks, absolute impulse responses, and variance decompositions for recoverable shocks, and it coincides with the standard method when shocks are invertible. Simulations demonstrate that it outperforms the Internal-Instrument approach due to greater flexibility. Application to a monetary policy VAR uncovers substantial effects of monetary policy on prices, differing from previous findings.
中文摘要
本文将外部工具SVAR-IV（代理SVAR）框架扩展至可容纳不可逆且不可恢复的冲击，并为可恢复性与可逆性提供了正式检验。该方法允许估计单位方差冲击、绝对脉冲响应以及可恢复冲击的方差分解，且当冲击可逆时与标准方法一致。模拟表明，由于具有更大的灵活性，该方法优于内部工具方法。将其应用于货币政策VAR，揭示了货币政策对价格的显著影响，这与以往研究结果不同。