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Estimating General Equilibrium Spillovers of Large-Scale Shocks

Kilian Huber

No 8955, CESifo Working Paper Series from CESifo

Abstract: Large-scale shocks directly affect some firms and households and indirectly affect others through general equilibrium spillovers. In this paper, I describe how researchers can directly estimate spillovers using quasi-experimental or experimental variation. I then argue that spillover estimates suffer from distinct sources of mechanical bias that standard empirical tools cannot resolve. These biases are particularly relevant in finance and macroeconomics, where multiple spillover channels and nonlinear effects are common. I offer guidance on how to detect and overcome mechanical biases. An application and several examples highlight that the suggested methods are broadly relevant and can inform policy and multiplier calculations.

Keywords: general equilibrium effects; spillovers; estimation; macroeconomic shocks; financial shocks (search for similar items in EconPapers)
JEL-codes: C20 E00 G21 G32 L11 R11 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Working Paper: Estimating General Equilibrium Spillovers of Large-Scale Shocks (2022) Downloads
Working Paper: Estimating General Equilibrium Spillovers of Large-Scale Shocks (2021) Downloads
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