局部投影识别出与经验模型和结构模型相同的政策反事实
Local projections identify the same policy counterfactuals as empirical and structural models
AI总结：
本文提出一种局部投影方法，用于识别政策干预下的反事实结果，通过比较经验模型和结构模型，分析了利率锚定下石油供应冲击的传播效应。
摘要：
我们研究了在有限时间窗口内对政策工具施加路径限制的政策反事实。在顺序干预设计下，我们定义了两个反事实对象，即政策-锚冲击响应和政策-路径效应，并提供了一种新的局部投影识别方法。在政策不变性和线性移动平均包络下，局部投影估计量与经验向量自回归和线性化前瞻结构模型所暗示的反事实结果一致，且反事实结果完全由相关的冲击响应特征描述。我们还提供了在一次性干预设计下这两种反事实对象的局部投影识别。在实证应用中，我们量化了在利率锚定下石油供应新闻冲击的传播，并研究了疫情后紧缩时期的不同复苏路径。
英文摘要：
We study policy counterfactuals that impose path restrictions on a policy instrument over a finite window. Under a sequential intervention design, we define two counterfactual objects, policy-peg impulse responses and policy-path effects, and we provide a novel local projection identification method. Under policy invariance and a linear moving average envelope, the local projection estimands coincide with the counterfactual outcomes implied by empirical vector autoregressions and linearized forward looking structural models, and the counterfactual outcomes are fully characterized by the relevant impulse responses. We also provide local projection identification of both counterfactual objects under an one-shot intervention design. In the empirical applications, we quantify the propagation of an oil-supply news shock under interest-rate pegs and study alternative liftoff paths during the post-pandemic tightening episode.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
