Hodges-Lehmann Detection of Structural Shocks - An Analysis of Macroeconomic Dynamics in the Euro Area
提出一种基于非高斯框架和霍奇斯-莱曼估计的方法，通过依赖诊断区分不同的结构冲击识别假设，并用蒙特卡洛研究验证其判别力，最后应用于欧元区模型识别需求、供给和货币政策冲击。
Abstract Structural shocks in multivariate dynamic systems are hidden and often identified with reference to a priori economic reasoning. Based on a non‐Gaussian framework of independent shocks, this work provides an approach to discriminate between alternative identifying assumptions on the basis of dependence diagnostics. Relying on principles of Hodges–Lehmann estimation, we suggest a decomposition of reduced form covariance matrices that yields implied least dependent (structural) shocks. A Monte Carlo study underlines the discriminatory strength of the proposed identification strategy. Applying the approach to a stylized model of the Euro Area economy, independent shocks conform with features of demand, supply and monetary policy shocks.