Rational expectations and the Paradox of policy-relevant natural experiments

• 成果类型: Article
• 署名作者: Chemla, Gilles; Hennessy, Christopher A.
• 署名单位: Imperial College London; Imperial College London; Centre for Economic Policy Research - UK; Centre for Economic Policy Research - UK; University of London; London Business School; University of London; London Business School
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.05.002
• 发表日期: 2020
• 页码: 368-381
• 关键词: Natural experiments; rational expectations; causality; POLICY

摘要

Policy experiments using large microeconomic datasets have recently gained ground in macroeconomics. Imposing rational expectations, we examine robustness of evidence derived from ideal natural experiments applied to atomistic agents in dynamic settings. Paradoxically, once experimental evidence is viewed as sufficiently clean to use, it then becomes contaminated by ex post endogeneity: Measured responses depend upon priors and the objective function into which evidence is fed. Moreover, agents' policy beliefs become endogenously correlated with their causal parameters, severely clouding inference, e.g. sign reversals and non-invertibility may obtain. Treatment-control differences are contaminated for non-quadratic adjustment costs. Constructively, we illustrate how inference can be corrected accounting for feedback and highlight factors mitigating contamination. (c) 2019 Elsevier B.V. All rights reserved.