Identification with external instruments in structural VARs under partial invertibility

Silvia Miranda Agrippino and Giovanni Ricco ()
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Silvia Miranda Agrippino: Bank of England and Centre for Economic Performance
Authors registered in the RePEc Author Service: Silvia Miranda-Agrippino

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Abstract: This paper discusses the conditions for indentification with external instruments in Structural VARs under partial invertibility. We observe that in this case the shocks of interest and their effects can be recovered using an external instrument, provided that a condition of limited lag exogeneity holds. This condition is weaker than that required for LP-IV, and allows for recoverability of impact effects also une VAR misspecification. We assess our claims in a simulated environment, and provide an emirical application to the relevant cas of identification of monetary policy shocks.

Keywords: Identification with external instruments; Structural VAR; Invertibility; Monetary Policy Shocks (search for similar items in EconPapers)
Date: 2018-07-01
Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-03475454
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Citations: View citations in EconPapers (11)

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Related works:
Working Paper: Identification with External Instruments in Structural VARs under Partial Invertibility (2019)
Working Paper: Identification with External Instruments in Structual VARs under partial invertibility (2018)
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