arXiv subjects

Endong Wang

Publications and source records attributed to Endong Wang.

5 recordsLinked to original sources

arXiv2025

Causal mechanism and mediation analysis for macroeconomics dynamics: a bridge of Granger and Sims causality

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.

econ.EM↗

arXiv2024

Sparse VARs Do Not Imply Sparse Local Projections: Robust Inference for High-Dimensional Granger Causality

This paper studies multi-horizon Granger causality using high-dimensional local projections in sparse Vector Autoregressive (VAR) systems. Since local projection coefficients are nonlinear transformations of the underlying VAR parameters, existing approaches, such as de-biased least absolute shrinkage and selection operator (LASSO) and post-double-selection methods applied directly to local projections, lack a general justification, as sparsity of the VAR does not always propagate to higher horizons. We propose a two-step framework that avoids imposing sparsity at each horizon and delivers valid inference without relying on heteroskedasticityand autocorrelation-consistent (HAC) corrections. We establish large sample theory for the proposed estimators and develop feasible Wald tests. Monte Carlo experiments demonstrate improved size control across horizons relative to existing methods. An application to large financial systems illustrates horizon-specific connectedness.

econ.EM↗

arXiv2024

Simple robust two-stage estimation and inference for generalized impulse responses and multi-horizon causality

This paper introduces a novel two-stage estimation and inference procedure for generalized impulse responses (GIRs). GIRs encompass all coefficients in a multi-horizon linear projection model of future outcomes of y on lagged values (Dufour and Renault, 1998), which include the Sims' impulse response. The conventional use of Least Squares (LS) with heteroskedasticity- and autocorrelation-consistent covariance estimation is less precise and often results in unreliable finite sample tests, further complicated by the selection of bandwidth and kernel functions. Our two-stage method surpasses the LS approach in terms of estimation efficiency and inference robustness. The robustness stems from our proposed covariance matrix estimates, which eliminate the need to correct for serial correlation in the multi-horizon projection residuals. Our method accommodates non-stationary data and allows the projection horizon to grow with sample size. Monte Carlo simulations demonstrate our two-stage method outperforms the LS method. We apply the two-stage method to investigate the GIRs, implement multi-horizon Granger causality test, and find that economic uncertainty exerts both short-run (1-3 months) and long-run (30 months) effects on economic activities.

econ.EM↗

arXiv2024

Local projections identify the same policy counterfactuals as empirical and structural models

We study policy counterfactuals that impose path restrictions on a policy instrument over a finite window. Under a sequential intervention design, we define two counterfactual objects, policy-peg impulse responses and policy-path effects, and we provide a novel local projection identification method. Under policy invariance and a linear moving average envelope, the local projection estimands coincide with the counterfactual outcomes implied by empirical vector autoregressions and linearized forward looking structural models, and the counterfactual outcomes are fully characterized by the relevant impulse responses. We also provide local projection identification of both counterfactual objects under an one-shot intervention design. In the empirical applications, we quantify the propagation of an oil-supply news shock under interest-rate pegs and study alternative liftoff paths during the post-pandemic tightening episode.

econ.EM↗

arXiv2023

H$_2$ + H$_2$O -> H$_4$O: Synthesizing Hyper-hydrogenated Water in Small-Sized Fullerenes?

Nanoscale confinement provides an ideal platform to rouse some exceptional reactions which cannot happen in the open space. Intuitively, H2 and H$_2$O cannot react. Herein, through utilizing small-sized fullerenes (C$_{24}$, C$_{26}$, C$_{28}$, and C$_{30}$) as nanoreactors, we demonstrate that a hyperhydrogenated water species, H$_4$O, can be easily formed using H2 and H$_2$O under ambient conditions by ab initio molecular dynamics simulations.The H$_4$O molecule rotates freely in the cavity of the cages and maintains its structure during the simulations. Further theoretical analysis indicates that H$_4$O in the fullerene possesses high stability thermodynamically and chemically, which can be rationalized by the electron transfer between H$_4$O and the fullerene. This work highlights the possibility of utilizing fullerene as a nanoreactor to provide confinement constraints for unexpected chemistry.

physics.chem-ph↗