Identifying Macro Shocks from Micro Evidence: A Mixed Autoregressive Approach

Naoya Nagasaka
Additional contact information
Naoya Nagasaka: Department of Economics, Indiana University, U.S.A. and Junior Research Fellow, Research Institute for Economics & Business Administration, Kobe University, JAPAN

No DP2026-18, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: This paper develops a methodology to identify aggregate shocks by employing heterogeneous direct (partial equilibrium) effects estimated from microeconometric research designs. The total effect of a shock consists of direct and indirect (general equilibrium) effects, but standard microeconometric approaches do not capture the latter. Our framework builds on a time-series econometric model that integrates aggregate variables with functional observations, such as cross-sectional densities of micro-level variables. We show how direct effects can serve as identification restrictions to recover total macroeconomic and distributional effects. We illustrate our approach by comparing the effects of lump-sum and targeted stimulus transfer policies on aggregate outcomes and consumption inequality.

Keywords: Direct and indirect effects; Vector autoregression; Functional data analysis; Bayesian econometrics (search for similar items in EconPapers)
JEL-codes: C32 C50 E60 (search for similar items in EconPapers)
Pages: 96 pages
Date: 2026-06
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2026-18.pdf First version, 2026 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kob:dpaper:dp2026-18

Access Statistics for this paper

More papers in Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University 2-1 Rokkodai, Nada, Kobe 657-8501 JAPAN. Contact information at EDIRC.
Bibliographic data for series maintained by Office of Promoting Research Collaboration, Research Institute for Economics & Business Administration, Kobe University ().