Robust difference-in-differences analysis when there is a term structure

• 成果类型: Article
• 署名作者: Nyborg, Kjell G.; Woschitz, Jiri
• 署名单位: University of Zurich; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; BI Norwegian Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104081
• 发表日期: 2025
• 关键词: Fixed-income pricing; term structure; difference-in-differences; treatment effects; False effects; Garbled measurement; matching

摘要

For variables with a term structure, the standard difference-in-differences (DiD) model is predisposed toward misspecification, even under random assignment, because of heterogeneity over the maturity spectrum and imperfect matching between treated and control units. Estimated treatment effects that are false, biased, or hard to interpret become a concern. Neither unit fixed effects nor standard term-structure controls resolve the problem. Solutions that overcome imperfect matching involve estimating the term structure of hypothesized treatment, which is also what is economically interesting (regardless of matching efficiency). These issues are not unique to DiD analysis, but are generic to group-assignment settings.