What Can Time-Series Regressions Tell Us About Policy Counterfactuals?

IF 6.6 1区经济学 Q1 ECONOMICS

Econometrica Pub Date : 2023-10-02 DOI:10.3982/ECTA21045

Alisdair McKay, Christian K. Wolf

引用次数: 0

Abstract

We show that, in a general family of linearized structural macroeconomic models, knowledge of the empirically estimable causal effects of contemporaneous and news shocks to the prevailing policy rule is sufficient to construct counterfactuals under alternative policy rules. If the researcher is willing to postulate a loss function, our results furthermore allow her to recover an optimal policy rule for that loss. Under our assumptions, the derived counterfactuals and optimal policies are robust to the Lucas critique. We then discuss strategies for applying these insights when only a limited amount of empirical causal evidence on policy shock transmission is available.

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关于政策反事实，时间序列的回归能告诉我们什么？

我们表明，在线性化结构宏观经济模型的一般家族中，对同期和新闻冲击对现行政策规则的可凭经验估计的因果效应的了解足以在替代政策规则下构建反事实。如果研究人员愿意假设损失函数，我们的结果进一步允许她为该损失恢复最优策略规则。在我们的假设下，导出的反事实和最优政策对卢卡斯的批判是稳健的。然后，我们讨论了在政策冲击传播的实证因果证据有限的情况下应用这些见解的策略。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometrica 社会科学-数学跨学科应用

CiteScore

11.00

自引率

3.30%

发文量

审稿时长

6-12 weeks

期刊介绍： Econometrica publishes original articles in all branches of economics - theoretical and empirical, abstract and applied, providing wide-ranging coverage across the subject area. It promotes studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking. It explores a unique range of topics each year - from the frontier of theoretical developments in many new and important areas, to research on current and applied economic problems, to methodologically innovative, theoretical and applied studies in econometrics. Econometrica maintains a long tradition that submitted articles are refereed carefully and that detailed and thoughtful referee reports are provided to the author as an aid to scientific research, thus ensuring the high calibre of papers found in Econometrica. An international board of editors, together with the referees it has selected, has succeeded in substantially reducing editorial turnaround time, thereby encouraging submissions of the highest quality. We strongly encourage recent Ph. D. graduates to submit their work to Econometrica. Our policy is to take into account the fact that recent graduates are less experienced in the process of writing and submitting papers.

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