Using Macro Counterfactuals to Assess Plausibility: An Illustration using the 2001 Rebate MPCs
中文摘要
宏观经济学越来越多地采用应用微观经济学“可信性革命”中的工具，估计可为宏观问题提供参考的微观参数。本文认为，研究者应利用微观与宏观的这一汇合，将可信性革命进一步推进。我们主张，研究者应通过为历史时期构建宏观反事实，并将这些反事实与合理的基准进行比较，来评估微观估计与宏观模型的合理性。我们通过对2001年美国退税进行案例研究来说明这一方法，并简要概述该方法论的另外四项应用。在2001年退税案例中，我们使用家庭退税边际消费倾向的主流估计值，校准了一个两商品、两主体的新凯恩斯模型，以构建非耐用品消费的反事实路径。该反事实路径表明，若无退税，非耐用品消费支出本将在2001年夏末与秋季大幅下降。借助预测回归及其他证据，我们认为这一反事实并不合理。在探究这一差异的来源时，我们发现，主流的边际消费倾向估计值并不能代表总消费的反应。
Abstract
Abstract Macroeconomics has increasingly adopted tools from the applied micro ‘credibility revolution’ to estimate micro parameters that can inform macro questions. In this paper, we argue that researchers should take advantage of this confluence of micro and macro to take the credibility revolution one step further. We argue that researchers should assess the plausibility of the micro estimates and macro models by constructing macro counterfactuals for historical periods and comparing these counterfactuals with reasonable benchmarks. We illustrate this approach by conducting a case study of the 2001 US tax rebates, as well as briefly summarising four other applications of the methodology. In the 2001 rebate case, we calibrate a two-good, two-agent New Keynesian model with the leading estimates of the household marginal propensity to consume out of the rebates to construct a counterfactual path for non-durable goods consumption. The counterfactual path implies that without the tax rebate non-durable goods consumption spending would have fallen dramatically in the late summer and fall of 2001. Using forecasting regressions and other evidence, we argue that this counterfactual is implausible. When we investigate the source of the discrepancy, we find that the leading marginal-propensity-to-consume estimates are not representative of the response of total consumption.