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宏观经济新闻冲击与意外冲击的估计AI 解读

ABSTRACT A common VAR approach is to identify responses to TFP news shocks by maximizing the variance share of TFP over a long horizon. We find that these TFP max share estimators tend to be biased in large samples when applied to data generated from DSGE models with shock processes that match TFP moments in the data, especially in the presence of TFP measurement error. We propose an alternative max share news estimator that reduces this bias and the RMSE of the impulse…

不确定性冲击的宏观响应：递归排序的风险AI 解读

ABSTRACT A common practice in empirical macroeconomics is to examine alternative recursive orderings of the variables in structural vector autoregressive (VAR) models. When the implied impulse responses look similar, the estimates are considered trustworthy. When they do not, the estimates are used to bound the true response without directly addressing the identification challenge. A leading example of this practice is the literature on the effects of uncertainty shocks on…