Enrico Wegner, Lenard Lieb, Stephan Smeekes, Ines Wilms
arXiv 29 May 2024 · Econometrics
arXiv:2405.18987 · PDF · DOI · OpenAlex · Extracted main text
We propose a framework for analysing transmission channels in a large class of dynamic models. We formulate our approach both using graph theory and potential outcomes, which we show to be equivalent. Our method, labelled Transmission Channel Analysis (TCA), allows for the decomposition of total effects captured by impulse response functions into the effects flowing through transmission channels, thereby providing a quantitative assessment of the strength of various well-defined channels. We establish that this requires no additional identification assumptions beyond the identification of the structural shock whose effects the researcher wants to decompose. Additionally, we prove that impulse response functions are sufficient statistics for the computation of transmission effects. We demonstrate the empirical relevance of TCA for policy evaluation by decomposing the effects of policy shocks arising from a variety of popular macroeconomic models.
appendix boundary found by appendix_command · 57% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Smets, Frank, Wouters, Rafael (2007) Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach | 0.941 | 6 | 3 | 83% |
| 2 | McKay, Alisdair, Wolf, Christian K (2023) What Can Time-Series Regressions Tell Us About Policy Counterfactuals? | 0.811 | 15 | 4 | 53% |
| 3 | Gertler, Mark, Karadi, Peter (2015) Monetary Policy Surprises, Credit Costs, and Economic Activity | 0.721 | 8 | 3 | 38% |
| 4 | Romer, Christina D, Romer, David H (2004) A New Measure of Monetary Shocks: Derivation and Implications | 0.693 | 6 | 3 | 33% |
| 5 | Ramey, Valerie A (2011) Identifying government spending shocks: It's all in the timing | 0.644 | 2 | 2 | 100% |
| 6 | Angrist, Joshua D., Jordà, Òscar, Kuersteiner, Guido M (2018) Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited | 0.644 | 2 | 2 | 100% |
| 7 | Daniel, R. M., De Stavola, B. L., Cousens, S. N., Vansteelandt, S (2015) Causal Mediation Analysis with Multiple Mediators | 0.644 | 2 | 2 | 100% |
| 8 | Kilian, Lutz, Lütkepohl, Helmut (2017) Structural Vector Autoregressive Analysis | 0.644 | 2 | 2 | 100% |
| 9 | Kolesár, Michal, Plagborg-Møller, Mikkel (2024) Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly | 0.644 | 2 | 2 | 100% |
| 10 | Sims, Christopher A., Zha, Tao (2006) Does Monetary Policy Generate Recessions? | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 44 scored citations.