Mario Alloza, Jesus Gonzalo, Carlos Sanz
arXiv 24 Jun 2020 · Econometrics · publishedJournal of Applied Econometrics (2019) · 7 citations (OpenAlex)
arXiv:2006.14047 · PDF · DOI · OpenAlex · Extracted main text
We provide evidence that many narrative shocks used by prominent literature are persistent. We show that the two leading methods to estimate impulse responses to an independently identified shock (local projections and distributed lag models) treat persistence differently, hence identifying different objects. We propose corrections to re-establish the equivalence between local projections and distributed lag models, providing applied researchers with methods and guidance to estimate their desired object of interest. We apply these methods to well-known empirical work and find that how persistence is treated has a sizable impact on the estimates of dynamic effects.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Ramey, V (2011) Identifying Government Spending Shocks: It's all in the Timing | 0.928 | 5 | 5 | 80% |
| 2 | Plagborg-Mller, M. and Wolf, C. K (2019) Local Projections and VARs Estimate the Same Impulse Responses | 0.928 | 5 | 3 | 80% |
| 3 | Arezki, R., Ramey, V. A., and Sheng, L (2017) News shocks in open economies: Evidence from giant oil discoveries | 0.920 | 9 | 4 | 78% |
| 4 | Ramey, V. A. and Zubairy, S (2018) Government spending multipliers in good times and in bad: Evidence from US historical data | 0.885 | 39 | 7 | 69% |
| 5 | Alesina, A., Favero, C., and Giavazzi, F (2015) The output effect of fiscal consolidation plans | 0.843 | 4 | 3 | 75% |
| 6 | Romer, C. D. and Romer, D. H (2004) A New Measure of Monetary Shocks: Derivation and Implications | 0.794 | 28 | 6 | 50% |
| 7 | Guajardo, J., Leigh, D., and Pescatori, A (2014) Expansionary austerity? International evidence | 0.763 | 18 | 5 | 44% |
| 8 | Romer, C. D. and Romer, D. H (2010) The macroeconomic effects of tax changes: estimates based on a new measure of fiscal shocks | 0.754 | 21 | 7 | 43% |
| 9 | Coibion, O (2012) Are the Effects of Monetary Policy Shocks Big or Small? | 0.737 | 5 | 3 | 40% |
| 10 | Bloom, N (2009) The Impact of Uncertainty Shocks | 0.737 | 3 | 3 | 67% |
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