About the exogenous variables in 3sls

[rei]

Hi, I'm currently studying the interrelationship between capital flows, credit growth and exchange market pressure.
Since capital flows and credit growth will endogenously affect each other, I'll have to model a simultaneous equations model to identify the direct effect.
My question is, when I try to specify each equation, I have to introduce exogenous variables as well. But since there are some factors which will affect all three variables, such as inflation rate, is it okay if I put inflation in all three simultaneous equation as my exogenous variables?? Will I violate any econometric issue?

Thanks!

[startz]

It's fine to put inflation in all three equations. But if you say inflation is exogenous that means it's not affected by exchange rates, etc. Do you believe that to be true?

[rei]

Thanks for your prompt reply.
To make it clearer, my study is on the effect of capital flows on Exchange Market Pressure (EMP) of the emerging markets.
I introduce two other endogenous variable, i.e. credit growth and asset inflation, as these are the mostly affected domestic variables during episodes of large capital inflows to emerging countries.
There are many related studies which employ VAR. But I intend to adopt 3sls to disentangle the direct effect and indirect effect (via domestic credit or asset price channel) of capital flows on EMP.
I also have some doubts about the choice of my econometric method. I am actually inspired by a study of Jean Imbs in which 3sls is used to separate direct and indirect impact of trade on business synchronization. There is quite a number of literature on business synchronization which adopt 3sls but very limited for study of capital flow and EMP. VAR is the common method instead.