- because of the coat which I bought in the West Edmonton Mall
- The answer phrase is correct.
- What happened because of the coat? This is a very difficult passage -- "which I bought in the West Edmonton Mall" is a clause, with the subject "I" and the simple predicate "bought," but that clause simply modifies the noun "coat," which is the object of the preposition "because of." A phrase is still a phrase, even if it has a clause inside.