Causal transmission in reduced-form models

Vassili Bazinas and Bent Nielsen

No 2015-W07, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: We propose a method to explore the causal transmission of a catalyst variable through two endogenous variables of interest. The method is based on the reduced-form system formed from the conditional distribution of the two endogenous variables given the catalyst. The method combines elements from instru- mental variable analysis and Cholesky decomposition of structural vector autoregressions. We give conditions for uniqueness of the causal transmission.

Pages: 22 pages
Date: 2015-07-13
New Economics Papers: this item is included in nep-ecm
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Related works:
Journal Article: Causal Transmission in Reduced-Form Models (2022)
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