■ Financial Econometrics Chapter 3.Causal Inference framework 1 0 Rubin Causal Model Jin Ling School of Finance,Zhongnan University of Economics and Law
Financial Econometrics Chapter 3. Causal Inference framework 1 Rubin Causal Model Jin Ling School of Finance, Zhongnan University of Economics and Law 1
Outline ·Causal effect 。Rubin Causal Model The Applications for Rubin Causal Model 2
• Causal effect • Rubin Causal Model • The Applications for Rubin Causal Model 2 Outline
Causal effect 。Cause of effect:: ·Economic growth 。Stock return. Investment efficiency ·Effect of cause: The effect of short sell on price efficiency. The effect of national team rescue on market stability. The effect of stimulus program on firm investment. The relationship between cause of effect and effect of cause. Financial econometrics mainly focuses on cause of effect or effect of cause? 3
• Cause of effect: • Economic growth. • Stock return. • Investment efficiency. • Effect of cause: • The effect of short sell on price efficiency. • The effect of national team rescue on market stability. • The effect of stimulus program on firm investment. • The relationship between cause of effect and effect of cause. • Financial econometrics mainly focuses on cause of effect or effect of cause? 3 Causal effect
Causal effect ·Causal effect: The effect of treatment on outcome variables. The difficulty to explore causal effects: 表1.】Yule-Simp50n悼纶 总样本 生还 死亡 生还率 干预组 20 20 50% 控制组 16 24 40% 男性样本 生还 死亡 生还率 干预组 18 -12 60% 控制组 3 70% 女性样本 生还 死亡 生还率 干预组 8 20% 控制组 9 30% 表1.2伯克利分校的研究生录取率 男生 女生 专业 申请人数 录取数 录取率 中请人数 录取数 录取率 专业1 200 40 20% 400 120 30% 黄业2 800 400 50% 100 70 70% 合计 1000 440 44% 500 190 38% 4
• Causal effect: • The effect of treatment on outcome variables. • The difficulty to explore causal effects: 4 Causal effect
Causal effect Credibility revolution: Rubin Causal Model (Neyman-Rubin Model). Randomized experiments. THE SVERIGES RIKSBANK PRIZE IN ECONOMIC SCIENCES IN MEMORY OF ALFRED NOBEL 2021 David Joshua Guido Card D.Angrist W.Imbens “for his empirical "for their methodological contributions to labour contributions to the analysis economics of causal relatorships THE ROYAL SWEDISH ACADEMY OF SCIENCES 5
• Credibility revolution: • Rubin Causal Model (Neyman-Rubin Model). • Randomized experiments. 5 Causal effect