Granular Instrumental Variables

X. Gabaix, R. Koijen
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引用次数: 53

Abstract

We propose a new way to construct instruments in a broad class of economic environments: “granular instrumental variables” (GIVs). In the economies we study, a few large firms, in- dustries or countries account for an important share of economic activity. As the idiosyncratic shocks from these large players affect aggregate outcomes, they are valid and often powerful instruments. We provide a methodology to extract idiosyncratic shocks from the data in order to create GIVs, which are size-weighted sums of idiosyncratic shocks. These GIVs allow us to then estimate parameters of interest, including causal elasticities and multipliers. We first illustrate the idea in a basic supply and demand framework: we achieve a novel identification of both supply and demand elasticities based on idiosyncratic shocks to either supply or demand. We then show how the procedure can be enriched to work in many sit- uations. We provide illustrations of the procedure with two applications. First, we measure how “sovereign yield shocks” transmit across countries in the Eurozone. Second, we estimate short-term supply and demand multipliers and elasticities in the oil market. Our estimates match existing ones that use more complex and labor-intensive (e.g., narrative) methods. We sketch how GIVs could be useful to estimate a host of other causal parameters in economics.
粒状工具变量
我们提出了一种在广泛的经济环境中构建工具的新方法:“颗粒工具变量”(giv)。在我们所研究的经济体中,少数大公司、大行业或大国家在经济活动中占有重要份额。由于这些大型参与者的特殊冲击会影响总体结果,因此它们是有效且往往强大的工具。我们提供了一种从数据中提取特殊冲击的方法,以创建giv,这是特殊冲击的大小加权总和。这些giv使我们能够估计感兴趣的参数,包括因果弹性和乘数。我们首先在基本的供给和需求框架中说明了这一想法:我们基于供给或需求的特殊冲击实现了供给和需求弹性的新识别。然后,我们将展示如何丰富该程序以在许多情况下工作。我们提供了两个应用程序的示例。首先,我们衡量了“主权收益率冲击”如何在欧元区国家之间传播。其次,我们估计了石油市场的短期供需乘数和弹性。我们的评估与使用更复杂和劳动密集型(例如,叙述)方法的现有评估相匹配。我们概述了giv如何有助于估计经济学中许多其他因果参数。
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