-
从原因到结果的路径
-
既黑暗且危险的
-
但是计量经济学的武器非常强大
-
当目睹平行趋势时
我们掌握了双重差分法
-
♪ [] ♪
-
计量经济学大师在寻找
-
令人信服的
「其他条件不变的比较」
-
理想的对比是
-
看起来相似的处理组和对照组
形成对照
-
但有时这种可比性是难以捉摸的
-
在没有处理的情况下
-
当处理组及对照组类似地演变时
-
即使起点不同
-
也有望进行因果推断
-
针对平行演化的武器
-
大师说的「平行趋势」
-
叫做「双重差分法」…
-
- 双重差分法...
-
- ...或简称为DD
- 好的
-
- 现在让我们看看 DD
-
如何帮助我们了解美国历史上
-
最重要的经济事件之一
-
- 现在我们一起回顾大萧条的情況—
-
我国有史以来最严重的经济灾难
-
在 1933 年失业率达到 25%—
-
这是之前或之后从未见过的水平
-
数百万国民失去了家园或土地
-
自杀率飙升
-
贫困的家庭依靠施食处和面包生产线
-
来避免挨饿
-
- 经济学家们
-
就大萧条的原因展开了激烈的争论
-
然而,大多数经济学家都同意
这个难题的关键部分
-
是银行大规模倒闭
-
这是施行存款保险制度之前的年代
-
因此,如果银行破产
你的储蓄也会化为乌有
-
- 取消你的帐户?
-
- 对啊,我想取消我的帐户
-
我不会在这家银行留下一分钱
-
- 面对银行业危机,央行有一项选择
-
随意地放贷给陷入困境的银行
-
或者袖手旁观拒绝贷款
-
借钱给有困难的银行叫「易钱」
-
拒贷叫「紧钱」
-
- 货币学派的代表人物
米尔顿弗里德曼和安娜施瓦茨
-
把大萧条称为
-
「大收缩」
-
指责美联储
-
就国家摇摇欲坠的金融机构
实施紧缩政策
-
是一项错误的政策
-
他们争辩说
-
易钱可让许多银行继续营业
-
从而缩短大萧条的时期
-
但其他人不同意
-
如果银行因为其不明智的贷款决定
-
而资不抵债
-
那么救助只会鼓励更多的愚蠢行为
-
经济学家把这个问题称为「道德风险」
-
今天人们仍就救助和道德风险
继续进行辩论
-
如果金融巨头雷曼兄弟
-
被允许在大衰退前夕倒闭
-
在理想的世界里
我们将会通过对随机选择的地区
-
应用不同的美联储政策
来回答这个问题
-
但是通过使用双重差分法
-
来比较不同货币政策的跨领域趋势
-
我们仍然可以学到很多事情
-
- 这怎么可能呢?
-
所有美国银行不是实施
相同的美联储政策吗?
-
- 对啊
- 好问题
-
联邦储备系统分为 12 个区
-
由12家地区性的联邦储备银行组成
-
今天,美联储政策是在国家层面制定的
-
但在 1930 年代,地区性的
联邦储备银行几乎可以随心所欲
-
- 啊,真有趣
-
- 这就是最棒的地方
-
在1930 年代,管理第六区的
亚特兰大联邦储备银行
-
遵循「易钱」政策
-
用手推车运送现金
去拯救破产的金融机构
-
而管理第八区的
圣路易斯联邦储备银行
-
则采取了紧缩的资金政策
-
「让愚蠢的人倒下吧!」
他们在圣路易斯说
-
因此,货币政策的自然实验诞生了
-
更好的是,这是州内的实验
-
第 6 区和第 8 区之间的边界
-
穿过密西西比州中部
-
密西西比北部实施紧钱政策
-
而密西西比南部则实施易钱政策
-
但是两个地区施行相同的
州法律和银行法规
-
- [Teacher] The treatment group
-
is the district 6 part
of Mississippi,
-
which had access to easy money
during the crisis.
-
The control group
-
is the district 8 part
of Mississippi,
-
which had tight money
during the crisis.
-
The key year
in our natural experiment
-
was 1930.
-
Caldwell & Company,
-
a massive financial empire
in the South,
-
came crashing down.
-
Banking is a business
built on confidence and trust.
-
The Caldwell meltdown
caused a panic
-
that led to a widespread
bank run all at once.
-
Depositors wanted their money back,
-
causing banks to go bankrupt
and shut their doors.
-
We'll use differences-in-differences
-
to measure the effect
of contrasting monetary policies
-
in response to the Caldwell crisis.
-
This figure plots the number
of banks in Mississippi by year,
-
for the 8th and 6th districts.
-
Let's start in 1929,
-
a year before the Caldwell crash.
-
There are 169 banks
open in the 8th,
-
and 141 banks open in the 6th.
-
Over the next year,
-
we see a similar handful
of banks fail, in both districts.
-
The change in the number
of banks in operation
-
is remarkably similar --
-
that's what parallel trends look like.
-
In November 1930, Caldwell crashes,
-
and the panic begins.
-
Banks failed frequently
in the 8th district,
-
which had tight money.
-
But the decline is slower
in the 6th district,
-
which had easy money.
-
Diverging trends in this period
-
might be attributable
to easy versus tight money.
-
In July of 1931, the 8th district
abandons tight money,
-
so now both districts are easy.
-
Parallel trends are restored.
-
In a counterfactual world,
-
where the 6th district
follows a tight money policy,
-
what might have happened?
-
If we extrapolate the trend
of the 8th district to the 6th,
-
it would look like this.
-
So the treatment-effective
easy money
-
is how much the 6th district
deviated from the path
-
implied by the 8th district trend.
-
How many banks
did the easy money treatment save?
-
This table reports data
for the treatment group, district 6,
-
in the first row,
-
and data for the control group,
district 8, in the second row.
-
The first column shows
the number of banks in business
-
before the crisis began in 1930.
-
The second column shows 1931.
-
This is the key period
-
when each district
had differing monetary policies
-
during the crisis.
-
The rightmost column
reports changes within the district.
-
District 6 lost 14 banks,
while district 8 lost 33.
-
The mathematical formula
for the treatment effect is simple.
-
We subtract the change in banks
in operation in the 8th district
-
from the change in banks
in operation in the 6th.
-
Hence, the name
"differences-in-differences."
-
-14 minus -33 equals 19.\]
-
We estimate that 19 banks
were saved by easy money.
-
In practice, tables and figures
like those shown here
-
are the beginning
rather than the end
-
of a DD analysis.
-
The problem of how to gauge
-
the statistical significance
of DD estimates
-
turns out to be exceedingly tricky,
-
and a regression is typically
part of the solution.
-
The key assumption
behind a valid DD analysis
-
is that of parallel trends.
-
Recall the principle
of ceteris paribus.
-
Our ideal comparison
would have the two districts
-
experience an identical
business environment,
-
except for one factor:
-
easy or tight money.
-
Both districts would have
identical types of customers
-
who would go bankrupt
at exactly the same rate.
-
The skill of their employees
would be equal, and so on.
-
Perfect ceteris paribus comparisons
would allow us to clearly see
-
the causal effect
of different Fed policies.
-
In this case, that's not possible.
-
But the idea of parallel trends
is based on a similar concept.
-
If we see that the two regions
experience similar trends
-
in the number of banks over time,
-
in the absence of treatment,
-
we can assume
they are good comparisons.
-
We see that the two districts
move in parallel,
-
both before the crisis and after,
-
when they have the same Fed policy.
-
The only time the districts
behave differently
-
is when the Fed policy is different.
-
In view of this,
-
Fed policy is a likely cause
of diverging trends
-
from 1930 to 1931.
-
But we should also check
for other changes
-
unique to northern Mississippi.
-
- [Man] Huh?
- What do you mean?
-
- [Teacher] Imagine that bad tornadoes
-
hit northern but not
southern Mississippi in 1930.
-
These tornadoes devastate farms,
-
causing farmers
to default on loans,
-
which drives their banks
out of business.
-
Then the 6th and 8th districts
-
would differ in not one
but two ways:
-
Fed policy and weather.
-
And we'd have trouble
identifying Fed policy
-
as the causal factor
behind increased bank failures
-
in the 8th.
-
- [Man] Ceteris is not paribus.
-
- DD credibility lives or dies
-
with the claim that the only reason
-
northern Mississippi
was special in 1930
-
is differing regional Fed policy.
-
We're in DD heaven with strong,
visual evidence of parallel trend.
-
- In general, the first step
in evaluating whether to use DD
-
is usually this type of visual
confirmation of parallel trends
-
outside of the period,
-
when we expect to see
a treatment effect.
-
The treatment in our example
-
is easy money
in the face of bank failures.
-
Metrics masters use DD
to explore effects of many policies,
-
like the minimum legal drinking age,
-
and environmental changes,
like access to clean water.
-
In our next video,
-
we'll see an example
of how regression is used
-
to implement a DD approach.
-
- [Narrator] Are you a teacher?
-
Click to explore ways
to use these videos in class.
-
If you're a learner,
make sure this video sticks
-
by taking a few quick
practice questions.
-
Or if you're ready,
click for the next video.
-
You can also check out
MRU's website
-
for more courses,
teacher resources, and more.
-
♪ [music] ♪