Title: Causal transmission in reduced-form models
Authors: Vassilios Bazinas - International Monetary Fund (United States) [presenting]
Abstract: A method is proposed 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 instrumental variable analysis and Cholesky decomposition of structural vector autoregressions. We give conditions for uniqueness of the causal transmission.