Identifying Modern Macro Equations with Old Shocks*
提出用独立识别的结构性冲击序列作为工具变量，解决前瞻性宏观方程估计中的内生性问题，发现传统方法严重低估菲利普斯曲线斜率。
Abstract Despite decades of research, the consistent estimation of structural forward-looking macroeconomic equations remains a formidable empirical challenge because of pervasive endogeneity issues. Prominent cases—the estimation of Phillips curves, Euler equations, or monetary policy rules—have typically relied on using predetermined variables as instruments, with mixed success. In this work, we propose a new approach that consists in using sequences of independently identified structural shocks as instrumental variables. Our approach is robust to weak instruments and is valid regardless of the shocks’ variance contribution. We estimate a Phillips curve using monetary shocks as instruments and find that conventional methods substantially underestimate the slope of the Phillips curve.