High-frequency instruments with time-varying reliability: Understanding identification in macroeconomics

Pooyan Amir Ahmadi, Christian Matthes and Mu-Chun Wang

No 08/2026, Discussion Papers from Deutsche Bundesbank

Abstract: The effects of monetary policy shocks are regularly estimated using high-frequency sur- prises in asset prices around central bank meetings as an instrument. These studies, insofar as they explicitly model the relationship between instrument and structural shock, assume a constant relationship between the instrument and the monetary policy shock. By allowing for time variation in this relationship, we show that only a few distinct periods are infor- mative about monetary policy shocks. Therefore, we build a narrative for instrument-based identification. For the instrument in Gertler & Karadi (2015), the effect on the (log) price level is almost 50 percent larger than the standard specification would suggest.

Keywords: High-Frequency Identification; Instruments; Monetary Policy (search for similar items in EconPapers)
Date: 2026
New Economics Papers: this item is included in nep-cba, nep-ets and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:338091

DOI: 10.71734/DP-2026-8

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