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Identifying Macro Shocks from Micro Evidence: A Mixed Autoregressive Approach

Author

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  • Naoya Nagasaka

    (Department of Economics, Indiana University, U.S.A. and Junior Research Fellow, Research Institute for Economics & Business Administration, Kobe University, JAPAN)

Abstract

This paper develops a methodology to identify aggregate shocks by employing heterogeneous direct (partial equilibrium) effects estimated from microeconometric research designs. The total effect of a shock consists of direct and indirect (general equilibrium) effects, but standard microeconometric approaches do not capture the latter. Our framework builds on a time-series econometric model that integrates aggregate variables with functional observations, such as cross-sectional densities of micro-level variables. We show how direct effects can serve as identification restrictions to recover total macroeconomic and distributional effects. We illustrate our approach by comparing the effects of lump-sum and targeted stimulus transfer policies on aggregate outcomes and consumption inequality.

Suggested Citation

  • Naoya Nagasaka, 2026. "Identifying Macro Shocks from Micro Evidence: A Mixed Autoregressive Approach," Discussion Paper Series DP2026-18, Research Institute for Economics & Business Administration, Kobe University.
    • Handle: RePEc:kob:dpaper:dp2026-18
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    File URL: https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2026-18.pdf
    File Function: First version, 2026
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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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