{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,3]],"date-time":"2026-08-03T17:46:45Z","timestamp":1785779205179,"version":"3.56.0"},"reference-count":50,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2026,3,31]],"date-time":"2026-03-31T00:00:00Z","timestamp":1774915200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"},{"start":{"date-parts":[[2026,3,31]],"date-time":"2026-03-31T00:00:00Z","timestamp":1774915200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2026,8]]},"abstract":"<jats:title>ABSTRACT<\/jats:title>\n                  <jats:p>\n                    The effects of monetary policy shocks are regularly estimated using high\u2010frequency surprises in asset prices around central bank meetings as an instrument. These studies, insofar as they explicitly model the relationship between instrument and structural shock, assume a\n                    <jats:italic>constant<\/jats:italic>\n                    relationship between the instrument and the monetary policy shock. By allowing for time variation in this relationship, we show that only a few distinct periods are informative about monetary policy shocks. Therefore, we build a narrative for instrument\u2010based identification. For the instrument in Gertler and Karadi, the effect on the (log) price level is almost 50% larger than the standard specification would suggest.\n                  <\/jats:p>","DOI":"10.1002\/jae.70054","type":"journal-article","created":{"date-parts":[[2026,3,31]],"date-time":"2026-03-31T14:51:19Z","timestamp":1774968679000},"page":"539-548","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["High\u2010Frequency Instruments With Time\u2010Varying Reliability: Understanding Identification in Macroeconomics"],"prefix":"10.1002","volume":"41","author":[{"given":"Pooyan","family":"Amir\u2010Ahmadi","sequence":"first","affiliation":[{"name":"Amazon  USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Christian","family":"Matthes","sequence":"additional","affiliation":[{"name":"Department of Economics University of Notre Dame  USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Mu\u2010Chun","family":"Wang","sequence":"additional","affiliation":[{"name":"Deutsche Bundesbank  Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2026,3,31]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2023.02.005"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2018.1459302"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2018.02.005"},{"key":"e_1_2_10_5_1","doi-asserted-by":"crossref","unstructured":"Antoine B. O.Boldea andN.Zaccaria.2024.Efficient Two\u2010Sample Instrumental Variable Estimators With Change Points and Near\u2010Weak Identification.https:\/\/arxiv.org\/abs\/2406.17056.","DOI":"10.2139\/ssrn.4878585"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20161852"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2020.12.004"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/723574"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA12356"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest_a_01589"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20170294"},{"key":"e_1_2_10_12_1","first-page":"283","volume-title":"NBER Macroeconomics Annual 2016","author":"Campbell J. R.","year":"2016"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/j.ctvcm4hrv"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/81.3.541"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.euroecorev.2020.103375"},{"key":"e_1_2_10_16_1","first-page":"331","volume-title":"NBER Macroeconomics Annual 2001","author":"Cogley T.","year":"2002"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2006.05.015"},{"key":"e_1_2_10_18_1","series-title":"Springer Series in Statistics","volume-title":"Finite Mixture and Markov Switching Models","author":"Fr\u00fchwirth\u2010Schnatter S.","year":"2006"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20130329"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.21033\/wp-2022-10"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00483"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.102.4.1692"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/manc.12020"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2024.105726"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20180090"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.98.3.604"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20190964"},{"key":"e_1_2_10_29_1","volume-title":"Cambridge Books","author":"Kilian L.","year":"2018"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.00050"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.07335"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(01)00055-1"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2998"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.103.4.1212"},{"key":"e_1_2_10_35_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20180124"},{"key":"e_1_2_10_36_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2023.01.006"},{"key":"e_1_2_10_37_1","unstructured":"Mumtaz H. andK.Petrova.2021.Algorithms for Proxy Svar Models With Time\u2010Varying Parameters Technical Report."},{"key":"e_1_2_10_38_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjy004"},{"key":"e_1_2_10_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2020.12.011"},{"key":"e_1_2_10_40_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA17813"},{"key":"e_1_2_10_41_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2005.00353.x"},{"key":"e_1_2_10_42_1","unstructured":"Rambachan A. andN.Shephard.2021.When Do Common Time Series Estimands Have Nonparametric Causal Meaning?"},{"key":"e_1_2_10_43_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465303772815727"},{"key":"e_1_2_10_44_1","doi-asserted-by":"publisher","DOI":"10.1257\/0002828042002651"},{"key":"e_1_2_10_45_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2009.00578.x"},{"key":"e_1_2_10_46_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282806776157678"},{"key":"e_1_2_10_47_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.97.3.586"},{"key":"e_1_2_10_48_1","unstructured":"Stock J. H.2008.Recent Developments in Structural VAR Modeling' Lecture Slides NBER Summer Institute Methods Lecture \u201cWhat's New in Econometrics: Time Series."},{"key":"e_1_2_10_49_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1538-4616.2007.00014.x"},{"key":"e_1_2_10_50_1","doi-asserted-by":"publisher","DOI":"10.1353\/eca.2012.0005"},{"key":"e_1_2_10_51_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.20180328"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.70054","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.70054","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.70054","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,8,3]],"date-time":"2026-08-03T16:46:07Z","timestamp":1785775567000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.70054"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026,3,31]]},"references-count":50,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2026,8]]}},"alternative-id":["10.1002\/jae.70054"],"URL":"https:\/\/doi.org\/10.1002\/jae.70054","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2026,3,31]]},"assertion":[{"value":"2025-02-28","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-01-31","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-03-31","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}