A1289
Title: Structural quantile VAR identified with external instruments
Authors: Sulkhan Chavleishvili - Aarhus University (Denmark) [presenting]
Abstract: A framework is developed for the identification of the dynamic causal effects of macroeconomic shocks on the quantiles of distribution predictions using external instruments in a multiple dynamic regression quantiles framework. The causal impulse responses are provided in terms of the quantiles and moments of the distribution predictions. The aim is to discuss an instrumental variables regression quantiles estimator in the time-series context and show the causal effects estimator to be consistent and asymptotically normal. The weak instrument robust inference approaches are discussed. The method is applied to study the distributional effect of the US monetary policy shocks on a set of macro-financial variables. Whether tightening the monetary policy reduces the excessive increase in asset prices and moderates future macroeconomic downside risk is studied.
