Causality in Macroeconomics Identifying Causal Relationships from Policy Instruments to Target Variables (2002)
BibTeX
@MISC{Hungnes02causalityin,
author = {Håvard Hungnes and Håvard Hungnes},
title = {Causality in Macroeconomics Identifying Causal Relationships from Policy Instruments to Target Variables},
year = {2002}
}
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Abstract
Can causal relationships between macroeconomic variables be identified using econometric methods? Only partly, we argue. Normally causal relationships cannot be identified from empirical analysis. However, if enough changes in policy rules have occurred during the observation period, it can be possible to identify causal relationships form policy instruments to target variables. An estimation procedure for obtaining this is sketched. This estimation procedure makes it possible to distinguish between causal effects of expected policy changes on one hand and (unexpected) shocks on the other.
