代理与叙事符号约束的结合：对技术冲击效应的再审视

IF 3.1 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2025-05-08 DOI:10.1002/jae.3129

Yang Yang, Ren Zhang

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引用次数: 0

摘要

本文提出了一种结合叙事符号约束的代理结构向量自回归方法，用于识别具有多个工具变量的多重冲击。我们通过分析演示和蒙特卡罗模拟表明，这种组合导致对冲击效应的信息推断。应用这种方法来识别预期和非预期的技术冲击，我们发现预期冲击占股价波动的45%以上，但仅占全要素生产率（TFP）波动的13%左右。大多数TFP变化是由未预料到的技术冲击和测量误差驱动的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Combining Proxies and Narrative Sign Restrictions: Revisiting the Effects of Technology Shocks

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Combining Proxies and Narrative Sign Restrictions: Revisiting the Effects of Technology Shocks

This paper proposes a novel integration of the proxy structural vector autoregression approach with narrative sign restrictions to identify multiple shocks with multiple instrumental variables. We show that this combination leads to informative inferences on shock effects through both analytical demonstrations and Monte Carlo simulations. Applying this method to identify anticipated and unanticipated technology shocks, we find that anticipated shocks account for over 45% of stock price variation but only about 13% of total factor productivity (TFP) fluctuations. The majority of TFP variations are driven by unanticipated technology shocks and measurement errors.

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.