无效代理变量与波动率变化
Invalid proxies and volatility changes
AI总结：
本文提出在proxy-SVAR中纳入波动率结构突变的稳定性约束，证明在秩条件下目标脉冲响应可被一致估计，并以美国财政政策为例发现税收乘数随波动率下降发生显著变化。
摘要：
在代理变量结构向量自回归（proxy-SVAR）模型中，当VAR扰动项的协方差矩阵受到外生的、永久性的结构突变影响，导致脉冲响应函数（IRFs）在不同波动率区间发生变化时，即使是强外生的外部工具变量也会产生动态因果效应的不一致估计。然而，如果通过（可检验的）“稳定性约束”将这些波动率变化恰当地纳入分析，我们证明目标IRFs在必要且充分的秩条件下是点识别的，并且可以被一致地估计。如果波动率的变化具有足够的信息量，标准的渐近推断仍然有效，即使存在（i）代理变量与被工具化的结构冲击之间的协方差趋于零的局部情形，以及（ii）工具变量外生性可能失效的情况。直观上，波动率的变化所起的作用类似于与目标冲击和非目标冲击都相关的强工具变量。我们通过重新考察一个针对美国经济的经典财政proxy-SVAR来展示我们方法的有效性。我们发现，当叙事性税收工具变量与大通胀向大稳健过渡期间观察到的无条件波动率下降相结合时，税收乘数的大小发生了急剧变化。叙事性税收工具变量有助于在两个区间内识别税收冲击，尽管我们的实证分析对其“统计”有效性提出了担忧。
英文摘要：
When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent breaks that cause IRFs to change across volatility regimes, even strong, exogenous external instruments yield inconsistent estimates of the dynamic causal effects. However, if these volatility shifts are properly incorporated into the analysis through (testable) "stability restrictions", we demonstrate that the target IRFs are point-identified and can be estimated consistently under a necessary and sufficient rank condition. If the shifts in volatility are sufficiently informative, standard asymptotic inference remains valid even with (i) local-to-zero covariance between the proxies and the instrumented structural shocks, and (ii) potential failures of instrument exogeneity. Intuitively, shifts in volatility act similarly to strong instruments that are correlated with both the target and non-target shocks. We illustrate the effectiveness of our approach by revisiting a seminal fiscal proxy-SVAR for the US economy. We detect a sharp change in the size of the tax multiplier when the narrative tax instrument is complemented with the decline in unconditional volatility observed during the transition from the Great Inflation to the Great Moderation. The narrative tax instrument contributes to identify the tax shock in both regimes, although our empirical analysis raises concerns about its "statistical" validity.
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