An N-dimensional generalization of the Amiti–Weinstein estimator

Arne Nagengast

Applied Economics Letters, 2019, vol. 26, issue 8, 669-676

Abstract: Amiti and Weinstein proposed an estimation framework to disentangle credit demand and supply shocks using matched bank-firm loan data. Here, we show that their estimator can be generalized to capture shocks arising in an arbitrary number of dimensions. Our algorithm permits empirical researchers to analyse multi-dimensional data sets using the Amiti–Weinstein framework. This may be beneficial both for studies on micro-level outcomes as well as for the literature on assessing the macroeconomic impact of idiosyncratic shocks. In an empirical application to a firm-product-country export data set, we highlight the usefulness of the generalized Amiti–Weinstein estimator, and we demonstrate the importance of considering additional dimensions when gauging the effect of granular shocks on aggregate fluctuations.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2018.1489491 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:26:y:2019:i:8:p:669-676

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2018.1489491

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().