{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,24]],"date-time":"2026-09-24T16:52:43Z","timestamp":1790268763411,"version":"4.1.0"},"reference-count":41,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2019,10,29]],"date-time":"2019-10-29T00:00:00Z","timestamp":1572307200000},"content-version":"vor","delay-in-days":58,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2019,9]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>We provide necessary and sufficient conditions for the identification (point\u2010identification)  of structural vector autoregressions (SVARs) with external instruments considering the case in which <jats:italic>r<\/jats:italic> instruments are used to identify <jats:italic>g<\/jats:italic> structural shocks of interest, <jats:italic>r<\/jats:italic>\u2009\u2265\u2009<jats:italic>g<\/jats:italic>\u2009\u2265\u20091. Novel frequentist estimation methods are discussed by considering both a \u201cpartial shocks\u201d identification strategy, where only <jats:italic>g<\/jats:italic> structural shocks are of interest and are instrumented, and a \u201cfull shocks\u201d identification strategy, where despite <jats:italic>g<\/jats:italic> structural shocks being instrumented, all <jats:italic>n<\/jats:italic>=<jats:italic>g<\/jats:italic>+(<jats:italic>n<\/jats:italic>\u2212<jats:italic>g<\/jats:italic>) structural shocks of the system can be identified under certain conditions. The suggested approach is applied to investigate empirically whether financial and macroeconomic uncertainty can be approximated as exogenous drivers of US real economic activity, or rather as endogenous responses to first moment shocks, or both. We analyze whether the dynamic causal effects of nonuncertainty shocks on macroeconomic and financial uncertainty are significant in the period after the global financial crisis.<\/jats:p>","DOI":"10.1002\/jae.2736","type":"journal-article","created":{"date-parts":[[2019,8,10]],"date-time":"2019-08-10T12:05:17Z","timestamp":1565438717000},"page":"951-971","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":47,"title":["Exogenous uncertainty and the identification of structural vector autoregressions with external instruments"],"prefix":"10.1002","volume":"34","author":[{"given":"Giovanni","family":"Angelini","sequence":"first","affiliation":[{"name":"Department of Economics University of Bologna  Bologna Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Luca","family":"Fanelli","sequence":"additional","affiliation":[{"name":"Department of Economics University of Bologna  Bologna Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2019,10,29]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-60623-6"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2672"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA14468"},{"key":"e_1_2_12_5_1","series-title":"Working paper","volume-title":"Inference in Bayesian SVARs identified with external instruments","author":"Arias J. E.","year":"2018"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.3386\/w21838"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6248"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.10.004"},{"key":"e_1_2_12_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.euroecorev.2017.08.008"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20170294"},{"key":"e_1_2_12_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdx030"},{"key":"e_1_2_12_13_1","doi-asserted-by":"publisher","DOI":"10.26509\/frbc-wp-201805"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12243"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.104.1.27"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20130329"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.26509\/frbc-wp-201908"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20162011"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20131193"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.3.1053"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1017\/9781108164818"},{"key":"e_1_2_12_22_1","series-title":"NBER Working Paper No.\u00a021803","volume-title":"Uncertainty and business cycles: Exogenous impulse or endogenous response?","author":"Ludvigson S. C.","year":"2018"},{"key":"e_1_2_12_23_1","doi-asserted-by":"publisher","DOI":"10.26509\/frbc-wp-201528"},{"key":"e_1_2_12_24_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-27752-1"},{"key":"e_1_2_12_25_1","series-title":"2nd ed.","volume-title":"Matrix differential calculus with applications in statistics and econometrics","author":"Magnus J. R.","year":"1999"},{"key":"e_1_2_12_26_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.103.4.1212"},{"key":"e_1_2_12_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2013.04.004"},{"key":"e_1_2_12_28_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20180707"},{"key":"e_1_2_12_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjy008"},{"key":"e_1_2_12_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2656"},{"key":"e_1_2_12_31_1","unstructured":"Montiel Olea J. L. Stock J. H. &Watson M. W.(2018).Inference in SVARs identified with an external instrument. Working paper."},{"key":"e_1_2_12_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1573-4412(05)80005-4"},{"key":"e_1_2_12_33_1","series-title":"Working Paper No.\u00a06\/17","volume-title":"Uncertainty and monetary policy in the US: A journey into a non\u2010linear territory","author":"Pellegrino G.","year":"2017"},{"key":"e_1_2_12_34_1","series-title":"Working paper","volume-title":"Instrumental variable identification of dynamic variance decompositions","author":"Plagborg\u2010M\u00f8ller M.","year":"2018"},{"key":"e_1_2_12_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/ecoj.12445"},{"key":"e_1_2_12_36_1","doi-asserted-by":"crossref","unstructured":"Ramey V.(2016).Macroeconomic shocks and their propagation.","DOI":"10.3386\/w21978"},{"key":"e_1_2_12_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12511"},{"key":"e_1_2_12_38_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913267"},{"key":"e_1_2_12_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2009.00578.x"},{"key":"e_1_2_12_40_1","doi-asserted-by":"crossref","unstructured":"Stock J. H. &Watson M. W.(2012).Disentangling the channels of the 2007\u20132009 recession. InBrookings Panel of Economic Activity: Conference paper pp.March 22\u201323.","DOI":"10.3386\/w18094"},{"key":"e_1_2_12_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/ecoj.12593"},{"key":"e_1_2_12_42_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12300"}],"updated-by":[{"DOI":"10.1002\/jae.2994","type":"correction","label":"Correction","source":"publisher","updated":{"date-parts":[[2023,6,16]],"date-time":"2023-06-16T00:00:00Z","timestamp":1686873600000}}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2736","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.2736","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2736","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,8,19]],"date-time":"2023-08-19T09:00:15Z","timestamp":1692435615000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2736"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2019,9]]},"references-count":41,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2019,9]]}},"alternative-id":["10.1002\/jae.2736"],"URL":"https:\/\/doi.org\/10.1002\/jae.2736","archive":["Portico"],"relation":{"correction":[{"id-type":"doi","id":"10.1002\/jae.2994","asserted-by":"object"}]},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2019,9]]},"assertion":[{"value":"2018-05-16","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-07-17","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-10-29","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}