Aller au contenu principal
A propos d'HEC A propos d'HEC Faculté et Recherche Faculté et Recherche Grande Ecole
& Masters Grande Ecole
& Masters
Programmes MBA Programmes MBA Programme PhD Programme PhD Executive Education Executive Education Summer School Summer School HEC Online HEC Online
A propos d'HEC En bref En bref Qui sommes-nous ? Qui sommes-nous ? Egalité des chances Egalité des chances Centre Carrières Centre Carrières International International Vie du campus Vie du campus Stories Stories Fondation HEC Fondation HEC Faculté et Recherche À propos À propos Corps professoral Corps professoral Départements Départements Centres Centres Chaires Chaires Knowledge Knowledge Grande Ecole
& Masters
Programme
Grande Ecole Programme
Grande Ecole
Doubles Diplômes
en Admission directe Doubles Diplômes
en Admission directe
MSc International
Finance MSc International
Finance
MS et MSc MS et MSc Visiting students Visiting students Certificats Certificats Vie
Etudiante Vie
Etudiante
Programmes MBA MBA MBA EMBA EMBA TRIUM EMBA TRIUM EMBA Programme PhD Overview Overview HEC Difference HEC Difference Program details Program details Research areas Research areas HEC Community HEC Community Placement Placement Job Market Job Market Admissions Admissions Financing Financing Summer School Youth Leadership Initiative Youth Leadership Initiative Summer programs Summer programs Admissions Admissions FAQ FAQ HEC Online En bref En bref Programme diplômant Programme diplômant Certificats Executive Certificats Executive MOOCs MOOCs
Faculté et Recherche

Granular Instrumental Variables - Xavier Gabaix

13 juin
2019
14H00
Jouy-en-Josas
Anglais

Participer

Add to Calendar
2019-06-13T14:00:00 2019-06-13T15:15:00 Granular Instrumental Variables - Xavier Gabaix Finance Speaker : Xavier Gabaix Buil. T - Room T104 Jouy-en-Josas

Finance

Speaker : Xavier Gabaix

Buil. T - Room T104

In many settings, there is a dearth of instruments, which hampers economists’ ability to investigate causal relations. We  propose a quite general way to construct instruments: “granular instrumental variables” (GIVs). In the economies we study, a few large firms or countries account for a large share of economic activity. As they are large, their idiosyncratic shocks affect aggregate outcomes. This makes those idiosyncratic shocks valid instruments for aggregate shocks. We provide a methodology to extract idiosyncratic shocks from the data, this way creating GIVs. Those GIVs allow us to then estimate parameters of interest, including causal elasticities.
We first illustrate the idea in a basic supply and demand framework: we achieve a novel identification of supply and demand elasticities, based on idiosyncratic shocks to supply or demand. We then show how the procedure can be adapted to handle many enrichments. We provide initial illustrations of the procedure with two applications. First, we measure how shocks to domestic banks causally affect sovereign yields. We document how negative shocks to Italian banks adversely affect Italian government bond yields, and vice-versa. This gives the first causal measure of the “doom loop” between banks and sovereign yields. Second, we estimate short-term supply and demand elasticities in the oil market. Our estimates match well
existing estimates that use much more complex and labor-intensive (e.g., narrative) methods.
We sketch how GIVs could be useful to estimate a host of other causal parameters in economics, particularly in aggregate macro-finance contexts where instruments are usually very rare.

Cliquez ici pour télécharger le papier

Participer

Add to Calendar
2019-06-13T14:00:00 2019-06-13T15:15:00 Granular Instrumental Variables - Xavier Gabaix Finance Speaker : Xavier Gabaix Buil. T - Room T104 Jouy-en-Josas