Despite decades of research, the consistent estimation of structural forward looking macroeconomic equations remains a formidable empirical challenge because of pervasive endogeneity issues. Prominent cases ---the estimation of Phillips curves, of Euler equations for consumption or output, or of monetary policy rules--- have typically relied on using pre-determined variables as instruments, with mixed success. In this work, we propose a new approach that consists in using sequences of independently identified structural shocks as instrumental variables. Our approach is robust to weak instruments and is valid regardless of the shocks' variance contribution. We estimate a Phillips curve using monetary shocks as instruments and find that conventional methods (i) substantially under-estimate the slope of the Phillips curve and (ii) over-estimate the role of forward-looking inflation expectations.

中文翻译：

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识别具有旧冲击的现代宏方程*

尽管进行了数十年的研究，但由于普遍存在的内生性问题，对结构前瞻性宏观经济方程的一致估计仍然是一个巨大的经验挑战。突出的案例-菲利普斯曲线的估计，消费或产出的欧拉方程或货币政策规则的估计-通常依赖于使用预定变量作为工具，但取得了成功。在这项工作中，我们提出了一种新方法，该方法包括使用独立识别的结构冲击序列作为工具变量。我们的方法对于弱小的工具是鲁棒的，并且不管冲击的方差贡献如何都是有效的。