Transmission Channel Analysis

Decompose impulse responses to better understand the underlying economic mechanisms.

Impulse response functions only measure the total effect of a shock or policy. What if we wanted to know how this total effect comes to be, i.e. what if we wanted to understand how the shock or policy work? Transmission Channel Analysis allows for the decomposition of impulse response functions into the effects along channels. Each channel corresponds to one mechanism behind the shock or the policy.

Want to learn more?

The best way to learn about about TCA is to check out the Wiki or the Examples. The Wiki covers the basics of TCA, while the Examples show hands-on how to use TCA in practice. Theoretical details are given in the paper.

Software

We provide various software packages for TCA. These allow practitioners to apply TCA to a broad range of problems. Currently, TCA packages exist in Julia, Matlab, and for Dynare (as part of the Matlab package). See the documentation or the examples for each of them to learn more.

Get the TCA Packages

Choose your preferred language and start analysing transmission channels.

Example

Wegner et al. (2025) use Transmission Channel Analysis (TCA) to decompose the impulse response functions of a contractionary monetary policy shock. They quantify the wage channel within a theoretical model and show that wages play a key role in the transmission of monetary policy.

Wegner et al. (2025) produce a decomposition plot (shown to the left) that graphically illustrates the decomposition of the impulse response function.

Learn how to do a similar analysis by reading the examples.

Examples

About

Collaborators

Enrico Wegner

Department of Quantitative Economics, School of Business and Economics Maastricht

Lenard Lieb

Department of Macro, International, and Labour Economics, School of Business and Economics Maastricht

Stephan Smeekes

Department of Quantitative Economics, School of Business and Economics Maastricht

Ines Wilms

Department of Quantitative Economics, School of Business and Economics Maastricht

License

Unless otherwise stated, all code on this website is published under the MIT License

Questions or comments?

For questions or comments regarding any of the content on this website, please open a GitHub issue. For questions or comments related to the paper, please get in contact with Enrico Wegner via e.wegner@maastrichtuniversity.nl

Open an Issue

Cite

If you use TCA or any of the packages in your research, we would appreciate if you would cite the original paper. This is currently the best way. 

@misc{wegner2025transmissionchannelanalysisdynamic,
  title={Transmission Channel Analysis in Dynamic Models}, 
  author={Enrico Wegner and Lenard Lieb and Stephan Smeekes and Ines Wilms},
  year={2025},
  eprint={2405.18987},
  archivePrefix={arXiv},
  primaryClass={econ.EM},
  url={https://arxiv.org/abs/2405.18987
}