论文标题
持续冲击的动态影响
Dynamic Effects of Persistent Shocks
论文作者
论文摘要
我们提供的证据表明，著名文学所使用的许多叙事冲击都是持久的。我们表明，对独立识别的冲击（局部预测和分布式滞后模型）估算冲动响应的两种主要方法对待持久性，从而识别不同的对象。我们提出更正，以重新建立本地预测与分布式滞后模型之间的等价性，从而为应用研究人员提供了估计其感兴趣对象的方法和指导。我们将这些方法应用于众所周知的经验工作，并发现如何处理持久性对动态效应的估计有很大的影响。
We provide evidence that many narrative shocks used by prominent literature are persistent. We show that the two leading methods to estimate impulse responses to an independently identified shock (local projections and distributed lag models) treat persistence differently, hence identifying different objects. We propose corrections to re-establish the equivalence between local projections and distributed lag models, providing applied researchers with methods and guidance to estimate their desired object of interest. We apply these methods to well-known empirical work and find that how persistence is treated has a sizable impact on the estimates of dynamic effects.
