arXiv 3 Apr 2023 · Econometrics
arXiv:2304.01273 · PDF · DOI · OpenAlex · Extracted main text
Granular instrumental variables (GIV) has experienced sharp growth in empirical macro-finance. The methodology's rise showcases granularity's potential for identification across many economic environments, like the estimation of spillovers and demand systems. I propose a new estimator--called robust granular instrumental variables (RGIV)--that enables studying unit-level heterogeneity in spillovers. Unlike existing methods that assume heterogeneity is a function of observables, RGIV leaves heterogeneity unrestricted. In contrast to the baseline GIV estimator, RGIV allows for unknown shock variances and equal-sized units. Applied to the Euro area, I find strong evidence of country-level heterogeneity in sovereign yield spillovers.
appendix boundary found by appendix_command · 57% of the source is main text. Read the extracted text to check this.
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 | Gabaix, X. and R. S. J. Koijen (2020) Granular Instrumental Variables, Tech | 1.000 | 34 | 7 | 100% |
| 2 | Gabaix, X. and R. S. J. Koijen (2021) In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis, Tech | 0.737 | 3 | 2 | 100% |
| 3 | Adrian, T., F. Grinberg, N. Liang, S. Malik, and J. Yu (2022) The Term Structure of Growth-at-Risk | 0.644 | 2 | 2 | 100% |
| 4 | Banafti, S. and T.-H. Lee (2022) Inferential Theory for Granular Instrumental Variables in High Dimensions, Working paper, arXiv | 0.644 | 2 | 2 | 100% |
| 5 | Baumeister, C. and J. D. Hamilton (2023) A Full-Information Approach to Granular Instrumental Variables | 0.644 | 2 | 2 | 100% |
| 6 | Bayoumi, T. and B. Eichengreen (1992) Shocking Aspects of European Monetary Unification, Tech | 0.644 | 2 | 2 | 100% |
| 7 | Camanho, N., H. Hau, and H. Rey (2022) Global Portfolio Rebalancing and Exchange Rates | 0.644 | 2 | 2 | 100% |
| 8 | Newey, W. K. and D. McFadden (1994) Chapter 36 Large Sample Estimation and Hypothesis Testing, in | 0.585 | 15 | 5 | 20% |
| 9 | Pakes, A. and D. Pollard (1989) Simulation and the Asymptotics of Optimization Estimators | 0.464 | 10 | 3 | 10% |
| 10 | Allen, F., A. Babus, and E. Carletti (2009) Financial Crises: Theory and Evidence | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 29 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Structural Analysis of Vector Autoregressive Models | 0.405 | 1 | 1 |
| 2 | Granular Instrumental Variables: Estimation and Inference | 0.405 | 1 | 1 |
| 3 | Granular Instrumental Variables in Large Panels: Identification and Inference Across Strong, Nearly Weak, and Weak GIV | 0.405 | 1 | 1 |