Financial Econometrics Chapter 5.Mediation Effect and Moderating Effect Jin Ling School of Finance,Zhongnan University of Economics and Law 1
Financial Econometrics Chapter 5. Mediation Effect and Moderating Effect Jin Ling School of Finance, Zhongnan University of Economics and Law 1
Outline Causal Identification ·Mediation Effect ·Moderating Effect 2
• Causal Identification • Mediation Effect • Moderating Effect 2 Outline
Causal ldentification The strategy for causal identification: Causal inference:Causal identification and statistical inference Causal identification:the causal model to rationalize the correlation. D D (a)基本因果模型T (b)基本因果模型川 (c)基本因果模型Ⅲ 3
• The strategy for causal identification: • Causal inference: Causal identification and statistical inference. • Causal identification: the causal model to rationalize the correlation. 3 Causal Identification
Causal ldentification The strategy for causal identification: Experiment design:Assignment mechanism. Randomized experiment is hard to design in reality. ·无法设计客观存在的现象。Bank competition. Assignment mechanism is endogenous.Consumer coupon. ·设计的实验难以探讨大的现实问题。Anti-poverty program
• The strategy for causal identification: • Experiment design: Assignment mechanism. • Randomized experiment is hard to design in reality. • 无法设计客观存在的现象。Bank competition. • Assignment mechanism is endogenous. Consumer coupon. • 设计的实验难以探讨大的现实问题。Anti-poverty program. 4 Causal Identification
Causal ldentification The strategy for causal identification: ·Testable implications(相关性含义)for causal effect. If the causal effect is true,what will happen? Implications from specific causal effects are different. M D M D 5
• The strategy for causal identification: • Testable implications (相关性含义) for causal effect. • If the causal effect is true, what will happen? • Implications from specific causal effects are different. 5 Causal Identification
Outline 。·Causal Identification ·Mediation Effect ·Moderating Effect 6
• Causal Identification • Mediation Effect • Moderating Effect 6 Outline
Mediation Effect The definition of mediation effect: ·中介效应是指原因通过一个或几个中间变量影响结果，这种中间变量被称作中介变量. Mediating factor or Mediator. Common Fact:the logic chain is long in financial field. 。Bank debt-→Firm investment. Monetary policy-Firm financial constraints. What is the mediating factor in the examples? 7
• The definition of mediation effect: • 中介效应是指原因通过一个或几个中间变量影响结果，这种中间变量被称作中介变量. • Mediating factor or Mediator. • Common Fact: the logic chain is long in financial field. • Bank debt→Firm investment. • Monetary policy→Firm financial constraints. • What is the mediating factor in the examples? 7 Mediation Effect
Mediation Effect The purpose of mediation effect: Identify specific channel to rationalize the causal model. If the channel is true,the causal model will be more convincing. Why?Depict how treatment leads to changes of outcome variables. D →M Y 8
• The purpose of mediation effect: • Identify specific channel to rationalize the causal model. • If the channel is true, the causal model will be more convincing. • Why? Depict how treatment leads to changes of outcome variables. 8 Mediation Effect
Mediation Effect 。 Mediation effect analysis: B D- D B 图3中介效应示意 Y=ao+aD+8y Y=B。+B,D+B,M+Ex M=Yo +yD+8w 9
• Mediation effect analysis: 9 Mediation Effect
Mediation Effect 。 Mediation effect analysis: ·Total effect. B D D ·Direct effect. ·ndirect effect. 图3中介效应示意 ·The relationship? 10
• Mediation effect analysis: • Total effect. • Direct effect. • Indirect effect. • The relationship? 10 Mediation Effect