| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14146 |
| DP14146 Equilibrium Counterfactuals | |
| Gilles Chemla; Christopher Hennessy | |
| 发表日期 | 2019-11-21 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We incorporate structural modellers into the economy they model. Using the traditional moment-matching method, they ignore policy feedback and estimate parameters using a structural model that treats policy changes as zero probability (or exogenous) "counterfactuals." Estimation bias occurs since the economy's actual agents, in contrast to model agents, understand policy changes are positive probability endogenous events guided by the modellers. We characterize equilibrium bias. Depending on technologies, downward, upward, or sign bias occurs. Potential bias magnitudes are illustrated by calibrating the Leland (1994) model to the Tax Cuts and Jobs Act of 2017. Regarding parameter identification, we show the traditional structural identifying assumption, constant moment partial derivative sign, is incorrect for economies with endogenous policy optimization: The correct identifying assumption is constant moment total derivative sign accounting for estimation-policy feedback. Under this assumption, model agent expectations can be updated iteratively until the modellers' policy advice converges to agent expectations, with bias vanishing. |
| 主题 | Financial Economics ; Industrial Organization ; Public Economics |
| URL | https://cepr.org/publications/dp14146 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543034 |
| 推荐引用方式 GB/T 7714 | Gilles Chemla,Christopher Hennessy. DP14146 Equilibrium Counterfactuals. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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