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Macroeconomic news announcements and identification of policy shocks in SVARs
This paper considers jumps in asset prices in short windows around macroeconomic news announcements and considers SVAR identification using the assumption that these jumps are not correlated with policy shocks. It switches the usual approach of an external instrument from something that is correlated with only the policy shock to one that is uncorrelated with the policy shock. Frequentist inference is considered. In principle, the approach can achieve point identification. In practice, the proposed instruments are too weak for point identification, but they can be used to sharpen frequentist sign identification. In an application, they reduce the width of confidence intervals for the impulse responses to a monetary policy shock.
Date:
21 November 2025, 14:15
Venue:
Manor Road Building, Manor Road OX1 3UQ
Venue Details:
Seminar Room C
Speaker:
Jonathan Wright (Johns Hopkins University)
Organising department:
Department of Economics
Part of:
Nuffield Econometrics Seminar
Booking required?:
Not required
Audience:
Members of the University only
Editor:
Edward Valenzano
