Jean-Marie Dufour, Endong Wang
arXiv 5 Sep 2025 · Econometrics
arXiv:2509.05284 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a novel concept of impulse response decomposition to disentangle the dynamic contributions of the mediator variables in the transmission of structural shocks. We justify our decomposition by drawing on causal mediation analysis and demonstrating its equivalence to the average mediation effect. Our result establishes a formal link between Sims and Granger causality. Sims causality captures the total effect, while Granger causality corresponds to the mediation effect. We construct a dynamic mediation index that quantifies the evolving role of mediator variables in shock propagation. Applying our framework to studies of the transmission channels of US monetary policy, we find that investor sentiment explains approximately 60% of the peak aggregate output response in three months following a policy shock, while expected default risk contributes negligibly across all horizons.
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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 | Dufour \ Renault (1998) `Short run and long run causality in time series: theory', Econometrica 66(5), 1099–1125 | 1.000 | 14 | 7 | 100% |
| gilchrist2012credit | unmatched citation key gilchrist2012credit | 1.000 | 8 | 4 | 100% |
| 3 | Robins (2003) `Semantics of causal dag models and the identification of direct and indirect effects', Highly structured stochastic systems pp.… | 1.000 | 5 | 3 | 100% |
| 4 | Imai, Keele \ Yamamoto (2010) `Identification, inference and sensitivity analysis for causal mediation effects', Statistical Science 25(1), 51–71 | 0.928 | 4 | 3 | 100% |
| 5 | Sims (1980) `Macroeconomics and reality', Econometrica 48(1), 1–48 | 0.874 | 5 | 2 | 100% |
| 6 | Plagborg-Mller \ Wolf (2021) `Local projections and VARs estimate the same impulse responses', Econometrica 89(2), 955–980 | 0.874 | 5 | 2 | 100% |
| 7 | Avin, Shpitser \ Pearl (2005) Identifiability of path-specific effects, in `Proceedings of the 19th international joint conference on Artificial intelligence'… | 0.811 | 4 | 2 | 100% |
| 8 | Baron \ Kenny (1986) `The moderator–mediator variable distinction in social psychological research: Conceptual, strategic, and statistical considerat… | 0.811 | 4 | 2 | 100% |
| 9 | Bauer \ Swanson (2023) `A reassessment of monetary policy surprises and high-frequency identification', NBER Macroeconomics Annual 37(1), 87–155 | 0.811 | 4 | 2 | 100% |
| 10 | Pearl (2022) Direct and indirect effects, in `Probabilistic and causal inference: the works of Judea Pearl', pp. 373–392 | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 54 scored citations. 1 of these could not be matched to a bibliography entry, so only the citation key is shown.