Auteurs Centres de recherche Disciplines et Collections Projets
Français English
 
 

Identification with external instruments in structural VARs under partial invertibility

 

Notice

Type:   Working paper
 
Titre:   Identification with external instruments in structural VARs under partial invertibility
 
Auteur(s):   Miranda Agrippino, Silvia - Bank of England (Auteur)
Ricco, Giovanni - Observatoire français des conjonctures économiques (Auteur)
 
Date de publication:   2018-07
 
Éditeur:   Paris  :  OFCE
 
Collection:   OFCE Working paper  :  24
 
Mots-clés:   [fr] Identification with external instruments, Structural VAR, Invertibility, Monetary Policy Shocks
 
JEL:   C3,  C32,  E30,  E52
 
Résumé:   [en] 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.
 
URL:   https://www.ofce.sciences-po.fr/pdf/dtravail/OFCEWP2018-24.pdf
 
 

Fichiers

Version Format Fichier Taille
Version de l'éditeur wp2018-24-identification-with-external-instruments-smiranda-agrippino.pdf 0,84 MB