Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments

By James H. Stock, Mark W. Watson. 2018

577 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/911714457f754f3ffbaa41da74b6a37440a89f49

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Impulse Response Estimation by Smooth Local Projections (2019, unknown): “11This strategy effectively amounts to identifying monetary shocks from the residuals of a Taylor rule with output growth and inflation (and their lags). running a two-stages least squares regression (Stock & Watson, 2018; Plagborg-Møller & Wolf, 2018).”
Local Projections vs. VARs: Lessons From Thousands of DGPs (2021, methodology): “For IV identification, we set x t = i t and instrument for this variable using the IV z t (this is the LP-IV estimator of Stock & Watson, 2018).”
Monetary Policy, Corporate Finance and Investment (2018, unknown): “One advantage of the Mertens and Ravn (2013) and Stock and Watson (2018) proxy-VAR used by Gertler and Karadi (2015) and Gerko and Rey (2017) is that even if the identification of the contemporaneous causal relationships is based on the sample for which the proxy/instrument is available, the VAR…”
Local Projection Inference Is Simpler and More Robust Than You Think (2020, methodology): “The pointwise properties of LP procedures have been discussed by Jordà (2005), Kilian and Lütkepohl (2017), and Stock and Watson (2018), among others.”
Bias in Local Projections (2020, unknown): “A number of recent papers have employed LPs with instrumental variables (see, for example, Jordà et al. (2015), Ramey and Zubairy (2018), and Stock and Watson (2018)).”
The Time-Varying Effect of Monetary Policy on Asset Prices (2017, unknown): “In addition, I compare the exogenous variable approach with the local projection instrumental variable approach (LP-IV), as proposed by Stock and Watson (2018) among others.5 The response of stock prices to monetary policy news (Bernanke & Kuttner, 2005; Rigobon & Sack, 2004) or macroeconomic news…”
The Term Structure of Growth-at-Risk (2018, unknown): “…states of the economy can potentially interact with FCIs in nonlinear ways in forecasting the GDP growth distribution at different time horizons (see Jorda (2005) and Stock and Watson (2018), while at the same time having a model that does not impose dynamic restrictions embedded in VAR models.”
The Macroeconomic Impact of Europe’s Carbon Taxes (2020, unknown): “13 See Stock and Watson (2018) and Plagborg-Møller and Wolf (2021) for details on methodology and relation between VARs and LPs.”
U.S. Monetary Policy and International Risk Spillovers (2019, methodology): “The results are of similar magnitude: In EMEs, the government bond rate differentials increase by 2.0%p after three quarters in response to a 1%p increase in U.S. monetary policy rate, in contrast, in AEs, the 23I chose a lag length of 4 following Stock and Watson (2018).”