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从原因到结果的路径
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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
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♪ [] ♪
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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
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但有时这种可比性是难以捉摸的
-
在没有处理的情况下
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当处理组及对照组类似地演变时
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即使起点不同
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也有望进行因果推断
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针对平行演化的武器
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大师说的「平行趋势」
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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
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如何帮助我们了解美国历史上
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最重要的经济事件之一
-
- 现在我们一起回顾大萧条的情況—
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我国有史以来最严重的经济灾难
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在 1933 年失业率达到 25%—
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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
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Suicide spiked, and hungry families
-
relied on soup kitchens
and bread lines
-
to keep from starving.
-
- Economists argue fiercely
-
over the causes
of the Great Depression.
-
Most agree, however,
that a key piece of the puzzle
-
is an epidemic of bank failures.
-
This was before deposit insurance.
-
So if your bank went bankrupt,
your savings disappeared with it.
-
- [Cashier] Closing your account?
-
- [Customer] Yes, sir.
I'm closing my account.
-
I wouldn't leave a nickel
in this bank.
-
- Faced with a banking crisis,
the Central Bank has a choice:
-
lend freely to troubled banks
-
or stand aside and refuse to lend.
-
Lending freely to banks in trouble
is called "easy money."
-
Refusing to lend
is called "tight money."
-
- [Joshua] Monetarist masters
Milton Friedman and Anna Schwartz
-
famously called
the Great Depression
-
the "Great Contraction,"
-
accusing the Federal Reserve
-
of inflicting a misguided policy
of tight money
-
on the nation's teetering
financial institutions.
-
They argued that easy money
-
would have kept
many banks in business,
-
shortening the Great Depression.
-
But others disagree!
-
If banks are insolvent
-
because of unwise
lending decisions,
-
then bailouts just encourage
more foolishness.
-
Economists called this problem
"moral hazard."
-
The debate over bailouts
and moral hazard continues today.
-
Should financial behemoth
Lehman Brothers
-
had been allowed to fail
on the eve of the Great Recession,
-
in an ideal world,
we'd answer this question
-
by applying different Fed policies
to randomly selected regions.
-
But we can still learn a lot
-
by using differences-in-differences
-
to compare trends across areas
with different monetary policies.
-
- [Camilla] How's that even possible?
-
Don't the same Fed policies
apply to all banks in the U.S.?
-
- [Man] Yeah.
- Good question.
-
The Federal Reserve System
is divided into 12 districts,
-
each headed by a regional bank.
-
Today, Fed policy is set
at the national level.
-
But in the 1930s, regional Feds
could do pretty much as they liked.
-
- [Man] Ah, interesting.
-
- And here's what's
so awesome about that.
-
In 1930, the Atlanta Fed,
running the 6th district,
-
followed an easy money policy,
-
sending wheelbarrows of cash
to rescue insolvent institutions.
-
The St. Louis Fed,
running the 8th district,
-
followed a tight money policy.
-
"Let fail the foolish!"
they said in St. Louis.
-
And so a natural experiment
in monetary policy was born.
-
Even better, this is
a within-state experiment.
-
The border between the 6th
and the 8th districts
-
ran smack through
the middle of Mississippi.
-
So northern Mississippi
had tight money,
-
while southern Mississippi
had easy money,
-
but under the same state laws
and banking regulations in both.
-
- [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] ♪