arXiv subjects

Luca Neri

Publications and source records attributed to Luca Neri.

3 recordsLinked to original sources

arXiv2026

Beyond Validity: SVAR Identification Through the Proxy Zoo

This paper develops a framework for robust identification in SVARs when researchers face a zoo of proxy variables. Instead of imposing exact exogeneity, we introduce generalized ranking restrictions (GRR) that bound the relative correlation of each proxy with the target and non-target shocks through a continuous proxy-quality parameter. Combining GRR with standard sign and narrative restrictions, we characterize identified sets for structural impulse responses and show how to partially identify the proxy-quality parameter using the joint information contained in the proxy zoo. We further develop sensitivity and diagnostic tools that allow researchers to assess transparently how empirical conclusions depend on proxy exogeneity assumptions and the composition of the proxy zoo. A simulation study shows that proxies constructed from sign restrictions can induce biased proxy-SVAR estimates, while our approach delivers informative and robust identified sets. An application to U.S.\ monetary policy illustrates the empirical relevance and computational tractability of the framework.

econ.EM↗

arXiv2024

Calibrated quantile prediction for Growth-at-Risk

Accurate computation of robust estimates for extremal quantiles of empirical distributions is an essential task for a wide range of applicative fields, including economic policymaking and the financial industry. Such estimates are particularly critical in calculating risk measures, such as Growth-at-Risk (GaR). % and Value-at-Risk (VaR). This work proposes a conformal framework to estimate calibrated quantiles, and presents an extensive simulation study and a real-world analysis of GaR to examine its benefits with respect to the state of the art. Our findings show that CP methods consistently improve the calibration and robustness of quantile estimates at all levels. The calibration gains are appreciated especially at extremal quantiles, which are critical for risk assessment and where traditional methods tend to fall short. In addition, we introduce a novel property that guarantees coverage under the exchangeability assumption, providing a valuable tool for managing risks by quantifying and controlling the likelihood of future extreme observations.

stat.ME↗

arXiv2024

Invalid proxies and volatility changes

When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent breaks that cause IRFs to change across volatility regimes, even strong, exogenous external instruments yield inconsistent estimates of the dynamic causal effects. However, if these volatility shifts are properly incorporated into the analysis through (testable) "stability restrictions", we demonstrate that the target IRFs are point-identified and can be estimated consistently under a necessary and sufficient rank condition. If the shifts in volatility are sufficiently informative, standard asymptotic inference remains valid even with (i) local-to-zero covariance between the proxies and the instrumented structural shocks, and (ii) potential failures of instrument exogeneity. Intuitively, shifts in volatility act similarly to strong instruments that are correlated with both the target and non-target shocks. We illustrate the effectiveness of our approach by revisiting a seminal fiscal proxy-SVAR for the US economy. We detect a sharp change in the size of the tax multiplier when the narrative tax instrument is complemented with the decline in unconditional volatility observed during the transition from the Great Inflation to the Great Moderation. The narrative tax instrument contributes to identify the tax shock in both regimes, although our empirical analysis raises concerns about its "statistical" validity.

econ.EM↗