arXiv 6 Oct 2024 · Econometrics
arXiv:2410.04431 · PDF · DOI · OpenAlex · Extracted main text
We identify the structural impulse responses of quantiles of the outcome variable to a shock. Our estimation strategy explicitly distinguishes treatment from control variables, allowing us to model responses of unconditional quantiles while using controls for identification. Disentangling the effect of adding control variables on identification versus interpretation brings our structural quantile impulse responses conceptually closer to structural mean impulse responses. Applying our methodology to study the impact of financial shocks on lower quantiles of output growth confirms that financial shocks have an outsized effect on growth-at-risk, but the magnitude of our estimates is more extreme than in previous studies.
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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 | Powell, David (2020) Quantile Treatment Effects in the Presence of Covariates | 0.950 | 14 | 4 | 86% |
| 2 | Koenker, Roger, Bassett, Gilbert (1978) Regression Quantiles | 0.950 | 7 | 4 | 86% |
| 3 | Angrist, Joshua D., Kuersteiner, Guido M (2011) Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score | 0.737 | 3 | 2 | 100% |
| 4 | Jordá, Ó (2005) Estimation and inference of impulse responses by local projections | 0.737 | 3 | 2 | 100% |
| 5 | Adrian, Tobias, Boyarchenko, Nina, Giannone, Domenico (2019) Vulnerable Growth | 0.585 | 3 | 1 | 100% |
| 6 | Gilchrist, Simon, Zakrajšek, Egon (2012) Credit Spreads and Business Cycle Fluctuations | 0.585 | 3 | 1 | 100% |
| 7 | Plagborg-Møller, Mikkel, Wolf, Christian K (2021) Local Projections and VARs Estimate the Same Impulse Responses | 0.585 | 3 | 1 | 100% |
| 8 | Loria, Francesca, Matthes, Christian, Zhang, Donghai (2024) Assessing macroeconomic tail risk | 0.511 | 2 | 1 | 100% |
| 9 | Montes-Rojas, Gabriel (2019) Multivariate Quantile Impulse Response Functions | 0.511 | 2 | 1 | 100% |
| 10 | Adrian, Tobias, Duarte, Fernando, Liang, Nellie, Zabczyk, Pawel (2020) NKV: A New Keynesian Model with Vulnerability | 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 | Fused LASSO as Non-Crossing Quantile Regression | 0.405 | 1 | 1 |