The synthetic control method assumes the existence of a perfect synthetic control, which cannot exist if the outcomes are functions of transitory shocks with nonzero asymptotic variance and may not exist even in expectation for the treated unit. This paper first shows the benefits of estimating synthetic controls for all units. If the treated unit composes part of the synthetic control for any untreated unit, the treatment effect is independently identified by the synthetic outcome minus the outcome of the untreated unit in the post-treatment period (divided by the synthetic control weight on the treated unit outcome). This paper introduces an estimator which generates synthetic controls for all units and develops moment conditions which are valid given transitory shocks. I also introduce a weighting metric which asymptotically excludes units without appropriate synthetic controls. The paper exploits the estimator's construction of multiple estimates of the treatment effect to produce valid inference even when the number of control units is small. The estimator is used to evaluate the repeal of Wisconsin's handgun purchase waiting period on suicide rates.
{"title":"Imperfect Synthetic Controls.","authors":"David Powell","doi":"10.1002/jae.70035","DOIUrl":"https://doi.org/10.1002/jae.70035","url":null,"abstract":"<p><p>The synthetic control method assumes the existence of a perfect synthetic control, which cannot exist if the outcomes are functions of transitory shocks with nonzero asymptotic variance and may not exist even in expectation for the treated unit. This paper first shows the benefits of estimating synthetic controls for all units. If the treated unit composes part of the synthetic control for any untreated unit, the treatment effect is independently identified by the synthetic outcome minus the outcome of the untreated unit in the post-treatment period (divided by the synthetic control weight on the treated unit outcome). This paper introduces an estimator which generates synthetic controls for all units and develops moment conditions which are valid given transitory shocks. I also introduce a weighting metric which asymptotically excludes units without appropriate synthetic controls. The paper exploits the estimator's construction of multiple estimates of the treatment effect to produce valid inference even when the number of control units is small. The estimator is used to evaluate the repeal of Wisconsin's handgun purchase waiting period on suicide rates.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":" ","pages":""},"PeriodicalIF":3.1,"publicationDate":"2026-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC12843250/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146094533","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We propose a two-step procedure to estimate a high dimensional discrete choice panel with interactive fixed effects where the initial and final estimators are obtained via a nuclear-norm regularized (NNR) maximum likelihood estimation and post-NNR iterated estimation, respectively. We apply the method to make counterfactual predictions of choice probabilities. Simulations demonstrate nice finite sample performance in estimation and tests. An illustrative application highlights the practical usefulness of our approach, revealing that the stock return of Fantasia Holdings Group Company Limited did experience a significant directional change following the 2021 credit rating downgrade event.
{"title":"High Dimensional Discrete Choice Models With Interactive Fixed Effects Applied to Causal Inference","authors":"Ye Chen, Ke Miao, Liangjun Su","doi":"10.1002/jae.70019","DOIUrl":"https://doi.org/10.1002/jae.70019","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a two-step procedure to estimate a high dimensional discrete choice panel with interactive fixed effects where the initial and final estimators are obtained via a nuclear-norm regularized (NNR) maximum likelihood estimation and post-NNR iterated estimation, respectively. We apply the method to make counterfactual predictions of choice probabilities. Simulations demonstrate nice finite sample performance in estimation and tests. An illustrative application highlights the practical usefulness of our approach, revealing that the stock return of Fantasia Holdings Group Company Limited did experience a significant directional change following the 2021 credit rating downgrade event.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 1","pages":"108-126"},"PeriodicalIF":3.1,"publicationDate":"2025-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146130200","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Nikolay Angelov, Per Johansson, Mikael Lindahl, Ariel Pihl
We estimate ex-ante treatment effects in earnings for attending university using survey data of the expectations of Stockholm high school students under different educational counterfactuals. Although the levels of earnings expectations are reasonable, they differ between stated and revealed educational preferences. The average ex-ante return is estimated to be 45%, with higher returns for female, high SES, and high math score students. The return is positive even for those who choose high school, unless they discount their future earnings streams by at least 4%–6%. We also find that students sort into education based on their perceived comparative advantage.
{"title":"Earnings Expectations and Educational Sorting: An Ex-Ante Perspective on Returns to University Education","authors":"Nikolay Angelov, Per Johansson, Mikael Lindahl, Ariel Pihl","doi":"10.1002/jae.70015","DOIUrl":"https://doi.org/10.1002/jae.70015","url":null,"abstract":"<p>We estimate ex-ante treatment effects in earnings for attending university using survey data of the expectations of Stockholm high school students under different educational counterfactuals. Although the levels of earnings expectations are reasonable, they differ between stated and revealed educational preferences. The average ex-ante return is estimated to be 45%, with higher returns for female, high SES, and high math score students. The return is positive even for those who choose high school, unless they discount their future earnings streams by at least 4%–6%. We also find that students sort into education based on their perceived comparative advantage.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 1","pages":"88-107"},"PeriodicalIF":3.1,"publicationDate":"2025-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70015","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146148081","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We study a specific form of forecast efficiency that requires forecast errors to be unpredictable from forecast revisions. One approach aggregates forecasts and estimates an aggregated efficiency regression, while another estimates the relationship by running separate regressions for each individual and then aggregating. We demonstrate that both estimators can be asymptotically biased in the presence of public noise. To address these biases, we propose instrumenting forecast revisions with past forecast errors. The Anderson–Rubin likelihood ratio test can be applied to test for forecast efficiency and remains robust even in the presence of weak instrumental variables. Applications of the test to the US Survey of Professional Forecasters clearly reveal experts' underreaction to news in their macroeconomic expectations.
我们研究了一种特定形式的预测效率，它要求预测误差从预测修正中不可预测。一种方法是汇总预测并估计聚合效率回归，而另一种方法是通过对每个个体运行单独的回归，然后进行聚合来估计关系。我们证明了在公共噪声存在的情况下，两个估计量都是渐近偏的。为了解决这些偏差，我们建议用过去的预测误差来测量预测修正。安德森-鲁宾似然比检验可用于检验预测效率，即使在存在弱工具变量的情况下也保持稳健。将该测试应用于美国专业预测者调查（Survey of Professional forecasts），清楚地显示出专家们对宏观经济预期中的新闻反应不足。
{"title":"An Instrumental Variables Approach to Testing Forecast Efficiency","authors":"Tucker S. McElroy, Xuguang Simon Sheng","doi":"10.1002/jae.70008","DOIUrl":"https://doi.org/10.1002/jae.70008","url":null,"abstract":"<div>\u0000 \u0000 <p>We study a specific form of forecast efficiency that requires forecast errors to be unpredictable from forecast revisions. One approach aggregates forecasts and estimates an aggregated efficiency regression, while another estimates the relationship by running separate regressions for each individual and then aggregating. We demonstrate that both estimators can be asymptotically biased in the presence of public noise. To address these biases, we propose instrumenting forecast revisions with past forecast errors. The Anderson–Rubin likelihood ratio test can be applied to test for forecast efficiency and remains robust even in the presence of weak instrumental variables. Applications of the test to the US Survey of Professional Forecasters clearly reveal experts' underreaction to news in their macroeconomic expectations.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 1","pages":"77-87"},"PeriodicalIF":3.1,"publicationDate":"2025-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146136072","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The Easterlin paradox explores the link between subjective well-being (SWB) and income, questioning if a saturation point exists where more income no longer boosts SWB. In the literature, the studies dealing with a saturation point of SWB at the cross-sectional level are ambiguous. The results of this study provide evidence for its existence. The EU-SILC data are used to test for satiation by means of kink regressions and generalized additive models. The unique feature of the EU-SILC dataset is the availability of the annual equalized disposable household income (EDHI) after taxes and deductions, taking into account social transfers. At least for European countries, life satisfaction and happiness, two facets of SWB, show no further increase above 30,000 € net annual income (EDHI) both in 2013 and 2018. Only a few countries have crossed the threshold and reached satiation. This results in different policy approaches. For European countries not at satiation, economic development might be prioritized to close the income gap. For European countries in satiation, priority should be given to looking beyond income growth to further improve SWB.
{"title":"Econometric Evidence for Satiation of Subjective Well-Being With Income at the Aggregate Level in Europe","authors":"Simon Röck, Gottfried Tappeiner, Janette Walde","doi":"10.1002/jae.70013","DOIUrl":"https://doi.org/10.1002/jae.70013","url":null,"abstract":"<p>The Easterlin paradox explores the link between subjective well-being (SWB) and income, questioning if a saturation point exists where more income no longer boosts SWB. In the literature, the studies dealing with a saturation point of SWB at the cross-sectional level are ambiguous. The results of this study provide evidence for its existence. The EU-SILC data are used to test for satiation by means of kink regressions and generalized additive models. The unique feature of the EU-SILC dataset is the availability of the annual equalized disposable household income (EDHI) after taxes and deductions, taking into account social transfers. At least for European countries, life satisfaction and happiness, two facets of SWB, show no further increase above 30,000 € net annual income (EDHI) both in 2013 and 2018. Only a few countries have crossed the threshold and reached satiation. This results in different policy approaches. For European countries not at satiation, economic development might be prioritized to close the income gap. For European countries in satiation, priority should be given to looking beyond income growth to further improve SWB.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 1","pages":"56-76"},"PeriodicalIF":3.1,"publicationDate":"2025-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70013","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146136043","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study addresses the limitations of traditional earnings risk measures, which often rely on moments such as variance, skewness, and kurtosis. For heavy-tailed distributions, these moments may not exist, challenging such analyses. We propose robust conditional Pareto exponents as novel measures of earnings risk, with accompanying estimation and inference methods. Using UK NESPD and US PSID data, we find (1) moments often fail to exist; (2) tail risk rises over the life cycle; (3) job stayers face higher tail risk; and (4) these patterns persist in both the 2007–2008 recession and the 2015–2016 growth period.
{"title":"Nonexistent Moments of Earnings Growth","authors":"Silvia Sarpietro, Yuya Sasaki, Yulong Wang","doi":"10.1002/jae.70017","DOIUrl":"https://doi.org/10.1002/jae.70017","url":null,"abstract":"<div>\u0000 \u0000 <p>This study addresses the limitations of traditional earnings risk measures, which often rely on moments such as variance, skewness, and kurtosis. For heavy-tailed distributions, these moments may not exist, challenging such analyses. We propose robust conditional Pareto exponents as novel measures of earnings risk, with accompanying estimation and inference methods. Using UK NESPD and US PSID data, we find (1) moments often fail to exist; (2) tail risk rises over the life cycle; (3) job stayers face higher tail risk; and (4) these patterns persist in both the 2007–2008 recession and the 2015–2016 growth period.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 1","pages":"39-55"},"PeriodicalIF":3.1,"publicationDate":"2025-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146135786","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
<div> <p>We test the null hypothesis that two parameters <span></span><math> <semantics> <mrow> <mo>(</mo> <msub> <mrow> <mi>μ</mi> </mrow> <mrow> <mn>1</mn> </mrow> </msub> <mo>,</mo> <msub> <mrow> <mi>μ</mi> </mrow> <mrow> <mn>2</mn> </mrow> </msub> <mo>)</mo> </mrow> <annotation>$$ left({mu}_1,{mu}_2right) $$</annotation> </semantics></math> have the same sign, assuming that (asymptotically) normal estimators <span></span><math> <semantics> <mrow> <mo>(</mo> <msub> <mrow> <mover> <mrow> <mi>μ</mi> </mrow> <mo>^</mo> </mover> </mrow> <mrow> <mn>1</mn> </mrow> </msub> <mo>,</mo> <msub> <mrow> <mover> <mrow> <mi>μ</mi> </mrow> <mo>^</mo> </mover> </mrow> <mrow> <mn>2</mn> </mrow> </msub> <mo>)</mo> </mrow> <annotation>$$ left({hat{mu}}_1,{hat{mu}}_2right) $$</annotation> </semantics></math> are available. Examples of this problem include the analysis of heterogeneous treatment effects, causal interpretation of reduced-form estimands, meta-studies, and mediation analysis. A number of tests were recently proposed. We recommend a test that is simple and rejects more often than many of these recent proposals. Like all other tests in the literature, it is conservative if the truth is near <span></span><math> <semantics> <mrow> <mo>(</mo> <mn>0</mn> <mo>,</mo> <mn>0</mn> <mo>)</mo> </mrow> <annotation>$$ left(0,0right) $$</annotation> </semantics></math> and therefore also biased. To clarify whether these features are avoidable, we also provide a test that is unbiased and has exact size control on the boundary of the null hypothesis, but which has counterintuitive properties and hence we do not recommend. We
{"title":"Testing Sign Congruence Between Two Parameters","authors":"Douglas L. Miller, Francesca Molinari, Jörg Stoye","doi":"10.1002/jae.70014","DOIUrl":"https://doi.org/10.1002/jae.70014","url":null,"abstract":"<div>\u0000 \u0000 <p>We test the null hypothesis that two parameters \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mo>(</mo>\u0000 <msub>\u0000 <mrow>\u0000 <mi>μ</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mn>1</mn>\u0000 </mrow>\u0000 </msub>\u0000 <mo>,</mo>\u0000 <msub>\u0000 <mrow>\u0000 <mi>μ</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mn>2</mn>\u0000 </mrow>\u0000 </msub>\u0000 <mo>)</mo>\u0000 </mrow>\u0000 <annotation>$$ left({mu}_1,{mu}_2right) $$</annotation>\u0000 </semantics></math> have the same sign, assuming that (asymptotically) normal estimators \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mo>(</mo>\u0000 <msub>\u0000 <mrow>\u0000 <mover>\u0000 <mrow>\u0000 <mi>μ</mi>\u0000 </mrow>\u0000 <mo>^</mo>\u0000 </mover>\u0000 </mrow>\u0000 <mrow>\u0000 <mn>1</mn>\u0000 </mrow>\u0000 </msub>\u0000 <mo>,</mo>\u0000 <msub>\u0000 <mrow>\u0000 <mover>\u0000 <mrow>\u0000 <mi>μ</mi>\u0000 </mrow>\u0000 <mo>^</mo>\u0000 </mover>\u0000 </mrow>\u0000 <mrow>\u0000 <mn>2</mn>\u0000 </mrow>\u0000 </msub>\u0000 <mo>)</mo>\u0000 </mrow>\u0000 <annotation>$$ left({hat{mu}}_1,{hat{mu}}_2right) $$</annotation>\u0000 </semantics></math> are available. Examples of this problem include the analysis of heterogeneous treatment effects, causal interpretation of reduced-form estimands, meta-studies, and mediation analysis. A number of tests were recently proposed. We recommend a test that is simple and rejects more often than many of these recent proposals. Like all other tests in the literature, it is conservative if the truth is near \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mo>(</mo>\u0000 <mn>0</mn>\u0000 <mo>,</mo>\u0000 <mn>0</mn>\u0000 <mo>)</mo>\u0000 </mrow>\u0000 <annotation>$$ left(0,0right) $$</annotation>\u0000 </semantics></math> and therefore also biased. To clarify whether these features are avoidable, we also provide a test that is unbiased and has exact size control on the boundary of the null hypothesis, but which has counterintuitive properties and hence we do not recommend. We ","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 1","pages":"3-11"},"PeriodicalIF":3.1,"publicationDate":"2025-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146129869","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study proposes a combination of a statistical identification approach with potentially invalid short-run zero restrictions. The estimator shrinks towards imposed restrictions and stops shrinkage when the data provide evidence against a restriction. We demonstrate that incorporating valid restrictions through the shrinkage approach enhances the efficiency of the statistically identified estimator, and the impact of invalid restrictions vanishes as the sample size increases. Applying the estimator to an oil market model indicates that incorporating stock market data into the analysis is crucial, as it enables the identification of information shocks, which are shown to be important drivers of the oil price.
{"title":"Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions","authors":"Sascha A. Keweloh, Shu Wang","doi":"10.1002/jae.70012","DOIUrl":"https://doi.org/10.1002/jae.70012","url":null,"abstract":"<p>This study proposes a combination of a statistical identification approach with potentially invalid short-run zero restrictions. The estimator shrinks towards imposed restrictions and stops shrinkage when the data provide evidence against a restriction. We demonstrate that incorporating valid restrictions through the shrinkage approach enhances the efficiency of the statistically identified estimator, and the impact of invalid restrictions vanishes as the sample size increases. Applying the estimator to an oil market model indicates that incorporating stock market data into the analysis is crucial, as it enables the identification of information shocks, which are shown to be important drivers of the oil price.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 1","pages":"12-25"},"PeriodicalIF":3.1,"publicationDate":"2025-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70012","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146135912","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
When evaluating risky options in experimental settings, do individuals integrate background finances with experimental earnings? An existing study, which combines experimental data on lottery choices and administrative data on personal wealth in Denmark, shows that individuals evaluate experimental payoffs in isolation. We replicate this finding using data from three experiments and survey-based measures of background finances for a representative Dutch sample. We show that the finding based on personal wealth extends to household wealth, personal income, and household income. The finding is also robust to different elicitation instruments, incentive structures, stake sizes, and interpersonal behavioral heterogeneity.
{"title":"Narrow Framing in Risk Aversion Experiments: Further Evidence From a Wide Replication","authors":"Ariel Gu, Matthew J. Walker, Hong Il Yoo","doi":"10.1002/jae.70010","DOIUrl":"https://doi.org/10.1002/jae.70010","url":null,"abstract":"<p>When evaluating risky options in experimental settings, do individuals integrate background finances with experimental earnings? An existing study, which combines experimental data on lottery choices and administrative data on personal wealth in Denmark, shows that individuals evaluate experimental payoffs in isolation. We replicate this finding using data from three experiments and survey-based measures of background finances for a representative Dutch sample. We show that the finding based on personal wealth extends to household wealth, personal income, and household income. The finding is also robust to different elicitation instruments, incentive structures, stake sizes, and interpersonal behavioral heterogeneity.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"41 1","pages":"127-133"},"PeriodicalIF":3.1,"publicationDate":"2025-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.70010","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146136356","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We propose a novel instrument for identifying central bank asset purchase shocks in a proxy-VAR. Our instrument exploits the deviations between asset purchase announcements and expectations inferred from quantitative surveys. Using euro area data, we find a positive impact of purchases on macroeconomic variables with high posterior probability. An asset purchase shock of 1% of GDP leads to median impacts on output and prices of 0.12% and 0.07%, respectively. The effects are three times as small as those in the US economy. Finally, we show that our instrument is stronger than high-frequency instruments, both in terms of statistical strength and alignment with narrative evidence.
{"title":"Revisiting the Dynamic Impact of Asset Purchases: A Survey-Based Identification","authors":"Stéphane Lhuissier, Benoît Nguyen","doi":"10.1002/jae.70011","DOIUrl":"https://doi.org/10.1002/jae.70011","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a novel instrument for identifying central bank asset purchase shocks in a proxy-VAR. Our instrument exploits the deviations between asset purchase announcements and expectations inferred from quantitative surveys. Using euro area data, we find a positive impact of purchases on macroeconomic variables with high posterior probability. An asset purchase shock of 1% of GDP leads to median impacts on output and prices of 0.12% and 0.07%, respectively. The effects are three times as small as those in the US economy. Finally, we show that our instrument is stronger than high-frequency instruments, both in terms of statistical strength and alignment with narrative evidence.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 7","pages":"846-861"},"PeriodicalIF":3.1,"publicationDate":"2025-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145646742","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
扫码关注我们
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号