Equilibrium counterfactuals

Autor: Gilles Chemla, Christopher Hennessy
Přispěvatelé: Dauphine Recherches en Management (DRM), Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS), London Business School
Rok vydání: 2020
Předmět:
Economics and Econometrics
bias
JB
Economics
Social Sciences
JM
JEL: H - Public Economics/H.H0 - General/H.H0.H00 - General
JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C62 - Existence and Stability Conditions of Equilibrium
JEL: D - Microeconomics/D.D0 - General/D.D0.D00 - General
Market forecasting
Business & Economics
0502 economics and business
Econometrics
050207 economics
EXPECTATIONS
14 Economics
050205 econometrics
algorithm
05 social sciences
G - Financial Economics::G3 - Corporate Finance and Governance::G32 - Financing Policy
Financial Risk and Risk Management
Capital and Ownership Structure
Value of Firms
Goodwill
structural models
JEL: G - Financial Economics/G.G3 - Corporate Finance and Governance/G.G3.G32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill
DEBT
Economic systems
MODEL
moments
[SHS.GESTION]Humanities and Social Sciences/Business administration
BADF
TAXES
policy
Zdroj: International Economic Review
International Economic Review, Wiley, 2021, 62 (2), pp.639-669. ⟨10.1111/iere.12513⟩
ISSN: 0020-6598
1468-2354
DOI: 10.1111/iere.12513⟩
Popis: International audience; We incorporate structural modelers into the economy they model. Using traditional moment matching, they treat policy changes as zero probability (or exogenous) “counterfactuals.” Bias occurs since real-world agents understand policy changes are positive probability events guided by modelers. Downward, upward, or sign bias occurs. Bias is illustrated by calibrating the Leland model to the 2017 tax cut. The traditional identifying assumption, constant moment partial derivative sign, is incorrect with policy optimization. The correct assumption is constant moment total derivative sign accounting for estimation-policy feedback. Model agent expectations can be updated iteratively until policy advice converges to agent expectations, with bias vanishing.
Databáze: OpenAIRE
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