High‐Frequency Instruments With Time‐Varying Reliability: Understanding Identification in Macroeconomics
研究发现，用于估计货币政策冲击的高频工具与冲击之间的关系随时间变化，仅少数时期具有信息量，据此提出基于叙事的工具识别方法，并发现价格水平效应比标准估计大近50%。
ABSTRACT The effects of monetary policy shocks are regularly estimated using high‐frequency surprises in asset prices around central bank meetings as an instrument. These studies, insofar as they explicitly model the relationship between instrument and structural shock, assume a constant relationship between the instrument and the monetary policy shock. By allowing for time variation in this relationship, we show that only a few distinct periods are informative about monetary policy shocks. Therefore, we build a narrative for instrument‐based identification. For the instrument in Gertler and Karadi, the effect on the (log) price level is almost 50% larger than the standard specification would suggest.