Individual skill
jfm-identification
Use when the identification argument is the bottleneck for a Journal of Financial Markets (JFM) manuscript — causal effects on market quality, or what pins down a microstructure model. Stress-tests the design against JFM's microstructure-insider bar before exhibits are finalized.
Journal-of-Financial-Markets-Skills/skills/jfm-identification/SKILL.md
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- Last checked
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# Identification Strategy (jfm-identification)
## When to trigger
- A causal claim about liquidity, spreads, depth, or price discovery rests on OLS + controls
- An event study uses a window so wide that confounding news or contemporaneous market-wide shocks contaminate it
- A market-structure change is exploited but the parallel-trends / no-anticipation logic is not argued
- Reverse causality is live: liquidity and the regressor (volume, volatility, ownership) are jointly determined
- A microstructure model is fit but it is unclear what *moment in the data* identifies the key parameter (PIN, lambda, adverse-selection share)
## The JFM identification bar
JFM referees know that market-quality variables are **endogenous to almost everything** — volume, volatility, information arrival, and prices co-move mechanically. So the bar is high for any causal liquidity/price-impact claim, and the journal especially rewards designs built on **exogenous changes in market structure**. The credible JFM toolkit is design-based, not control-saturated.
