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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorChemla, Gilles
hal.structure.identifierLondon Business School
dc.contributor.authorHennessy, Christopher A.
dc.date.accessioned2021-09-28T10:19:56Z
dc.date.available2021-09-28T10:19:56Z
dc.date.issued2021
dc.identifier.issn0020-6598
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/21855
dc.language.isoenen
dc.subjectstructural modelsen
dc.subjectmomentsen
dc.subjectpolicyen
dc.subjectbiasen
dc.subjectalgorithmen
dc.subject.ddc658.1en
dc.subject.classificationjelC.C6.C62en
dc.subject.classificationjelD.D0.D00en
dc.subject.classificationjelH.H0.H00en
dc.subject.classificationjelG.G3.G32en
dc.titleEquilibrium Counterfactualsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameInternational Economic Review
dc.relation.isversionofjnlvol62en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2021-05
dc.relation.isversionofjnlpages639-669en
dc.relation.isversionofdoi10.1111/iere.12513en
dc.relation.isversionofjnlpublisherWileyen
dc.subject.ddclabelGestion financière, capital risque, création de valeuren
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2021-09-28T09:37:23Z
hal.identifierhal-03356704
hal.version1
dc.subject.classificationjelHALC - Mathematical and Quantitative Methods::C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling::C62 - Existence and Stability Conditions of Equilibriumen
dc.subject.classificationjelHALD - Microeconomics::D0 - General::D00 - Generalen
dc.subject.classificationjelHALH - Public Economics::H0 - General::H00 - Generalen
dc.subject.classificationjelHALG - Financial Economics::G3 - Corporate Finance and Governance::G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwillen
hal.date.transferred2021-09-28T10:19:57Z
hal.author.functionaut
hal.author.functionaut


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