论文标题
仪器变量可以识别哪些冲动响应？
What Impulse Response Do Instrumental Variables Identify?
论文作者
论文摘要
宏观经济冲击通常是多个组成部分的复合材料。我们表明，局部投影-IV（LP-IV）估计骨料组件的脉冲反应具有潜在的负重，从而挑战了其因果解释。为了解决这个问题，我们建议使用多个符号限制的IV或分解数据提出识别策略，即使单个LP-IV估计值是非作用，它们也会恢复结构上有意义的响应。我们还表明，在弱的平稳性下，确定的集合很清晰，在某些关键情况下不能进一步缩小。财政和货币政策的申请证明了我们方法的实际价值。
Macroeconomic shocks are often composites of multiple components. We show that the local projection-IV (LP-IV) estimand aggregates component-wise impulse responses with potentially negative weights, challenging its causal interpretation. To address this, we propose identification strategies using multiple sign-restricted IVs or disaggregated data, which recover structurally meaningful responses even when individual LP-IV estimands are non-causal. We also show that, under weak stationarity, the identified sets are sharp and cannot be further narrowed in some key cases. Applications to fiscal and monetary policy demonstrate the practical value of our approach.
