Combining Proxies and Narrative Sign Restrictions: Revisiting the Effects of Technology Shocks
提出一种将代理结构向量自回归与叙事符号约束相结合的新方法，用于识别多重冲击。通过蒙特卡洛模拟和实证分析，发现预期技术冲击解释了股票价格变动的45%以上，但仅解释全要素生产率波动的约13%。
ABSTRACT This paper proposes a novel integration of the proxy structural vector autoregression approach with narrative sign restrictions to identify multiple shocks with multiple instrumental variables. We show that this combination leads to informative inferences on shock effects through both analytical demonstrations and Monte Carlo simulations. Applying this method to identify anticipated and unanticipated technology shocks, we find that anticipated shocks account for over 45% of stock price variation but only about 13% of total factor productivity (TFP) fluctuations. The majority of TFP variations are driven by unanticipated technology shocks and measurement errors.