Template-type: ReDIF-Paper 1.0
Author-Name: Vassili Bazinas
Author-Workplace-Name: Dept of Economics Oxford University
Author-Name: Bent Nielsen
Author-Workplace-Name: Dept of Economics, Institute for Economic Modeling at the Oxford Martin School, Oxford University
Author-Email: bent.nielsen@nuffield.ox.ac.uk.
Title: Causal transmission in reduced-form models
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.
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Length: 22 pages
Creation-Date: 2015-07-13
Number: 2015-W07
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2015/Causality2015.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1507