The Econometrics of Macroeconomic Modelling.
Gunnar. Bårdsen
Bok Engelsk 2005 · Electronic books.
| Omfang | 1 online resource (361 pages)
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| Opplysninger | Intro -- Contents -- List of Figures -- List of Tables -- List of Abbreviations -- 1 Introduction -- 1.1 The case for macroeconometric models -- 1.2 Methodological issues (Chapter 2) -- 1.3 The supply-side and wage- and price-setting (Chapters 3-8) -- 1.4 The transmission mechanism (Chapters 9 and 10) -- 1.5 Forecast properties (Chapter 11) -- 2 Methodological issues of large-scale macromodels -- 2.1 Introduction: small vs. large models -- 2.2 The roles of statistics and economic theory in macroeconometrics -- 2.2.1 The influx of statistics into economics -- 2.2.2 Role of economic theory in macroeconometrics -- 2.3 Identifying partial structure in submodels -- 2.3.1 The theory of reduction -- 2.3.2 Congruence -- 2.4 An example: modelling the household sector -- 2.4.1 The aggregate consumption function -- 2.4.2 Rival models -- 2.5 Is modelling subsystems and combining them to a global model a viable procedure? -- 3 Inflation in open economies: the main-course model -- 3.1 Introduction -- 3.2 Cointegration -- 3.2.1 Causality -- 3.2.2 Steady-state growth -- 3.2.3 Early empiricism -- 3.2.4 Summary -- 4 The Phillips curve -- 4.1 Introduction -- 4.1.1 Lineages of the Phillips curve -- 4.2 Cointegration, causality, and the Phillips curve natural rate -- 4.3 Is the Phillips curve consistent with persistent changes in unemployment? -- 4.4 Estimating the uncertainty of the Phillips curve NAIRU -- 4.5 Inversion and the Lucas critique -- 4.5.1 Inversion -- 4.5.2 Lucas critique -- 4.5.3 Model-based vs. data-based expectations -- 4.5.4 Testing the Lucas critique -- 4.6 An empirical open economy Phillips curve system -- 4.6.1 Summary -- 5 Wage bargaining and price-setting -- 5.1 Introduction -- 5.2 Wage bargaining and monopolistic competition -- 5.3 The wage curve NAIRU -- 5.4 Cointegration and identification.. - 10.1 Introduction -- 10.2 Four groups of interest rate rules -- 10.2.1 Revisions of output data: a case for real-time variables? -- 10.2.2 Data input for interest rate rules -- 10.2.3 Ex post calculated interest rate rules -- 10.3 Evaluation of interest rate rules -- 10.3.1 A new measure-RMSTEs -- 10.3.2 RMSTEs and their decomposition -- 10.3.3 Relative loss calculations -- 10.3.4 Welfare losses evaluated by response surface estimation -- 10.4 Conclusions -- 11 Forecasting using econometric models -- 11.1 Introduction -- 11.2 EqCMs vs. dVARs in macroeconometric forecasting -- 11.2.1 Forecast errors of bivariate EqCMs and dVARs -- 11.2.2 A large-scale EqCM model and four dVAR type forecasting systems based on differenced data -- 11.3 Model specification and forecast accuracy -- 11.3.1 Forecast errors of stylised inflation models -- 11.3.2 Revisiting empirical models of Norwegian inflation -- 11.3.3 Forecast comparisons -- 11.4 Summary and conclusions -- Appendix -- A.1 The Lucas critique -- A.2 Solving and estimating rational expectations models -- A.2.1 Repeated substitution -- A.2.2 Undetermined coefficients -- A.2.3 Factorization -- A.2.4 Estimation -- A.2.5 Does the MA(1) process prove that the forward solution applies? -- A.3 Calculation of interim multipliers in a linear dynamic model: a general exposition -- A.3.1 An example -- Bibliography -- Author Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- Q -- R -- S -- T -- U -- V -- W -- Y -- Subject Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- K -- L -- M -- N -- O -- P -- R -- S -- T -- U -- V -- W.. - 5.5 Cointegration and Norwegian manufacturing wages -- 5.6 Aggregate wages and prices: UK quarterly data -- 5.7 Summary -- 6 Wage-price dynamics -- 6.1 Introduction -- 6.2 Nominal rigidity and equilibrium correction -- 6.3 Stability and steady state -- 6.4 The stable solution of the conditional wage-price system -- 6.4.1 Cointegration, long-run multipliers, and the steady state -- 6.4.2 Nominal rigidity despite dynamic homogeneity -- 6.4.3 An important unstable solution: the 'no wedge' case -- 6.4.4 A main-course interpretation -- 6.5 Comparison with the wage-curve NAIRU -- 6.6 Comparison with the wage Phillips curve NAIRU -- 6.7 Do estimated wage-price models support the NAIRU view of equilibrium unemployment? -- 6.7.1 Empirical wage equations -- 6.7.2 Aggregate wage-price dynamics in the United Kingdom -- 6.8 Econometric evaluation of Nordic structural employment estimates -- 6.8.1 The NAWRU -- 6.8.2 Do NAWRU fluctuations match up with structural changes in wage formation? -- 6.8.3 Summary of time varying NAIRUs in the Nordic countries -- 6.9 Beyond the natural rate doctrine: unemployment-inflation dynamics -- 6.9.1 A complete system -- 6.9.2 Wage-price dynamics: Norwegian manufacturing -- 6.10 Summary -- 7 The New Keynesian Phillips curve -- 7.1 Introduction -- 7.2 The NPCM defined -- 7.3 NPCM as a system -- 7.4 Sensitivity analysis -- 7.5 Testing the specification -- 7.5.1 An encompassing representation -- 7.5.2 Testing against richer dynamics -- 7.5.3 Evaluation of the system -- 7.5.4 Testing the encompassing implications -- 7.5.5 The NPCM in Norway -- 7.6 Conclusions -- 8 Money and inflation -- 8.1 Introduction -- 8.2 Models of money demand -- 8.2.1 The velocity of circulation -- 8.2.2 Dynamic models -- 8.2.3 Inverted money demand equations -- 8.3 Monetary analysis of Euro-area data -- 8.3.1 Money demand in the Euro area 1980-97.. - 8.3.2 Inversion may lead to forecast failure -- 8.4 Monetary analysis of Norwegian data -- 8.4.1 Money demand in Norway-revised and extended data -- 8.4.2 Monetary effects in the inflation equation? -- 8.5 Inflation models for the Euro area -- 8.5.1 The wage-price block of the Area Wide Model -- 8.5.2 The Incomplete Competition Model -- 8.5.3 The New Keynesian Phillips Curve Model -- 8.5.4 The P*-model of inflation -- 8.6 Empirical evidence from Euro-area data -- 8.6.1 The reduced form AWM inflation equation -- 8.6.2 The reduced form ICM inflation equation -- 8.6.3 The P*-model -- 8.6.4 The New Keynesian Phillips curve -- 8.6.5 Evaluation of the inflation models' properties -- 8.6.6 Comparing the forecasting properties of the models -- 8.6.7 Summary of findings-Euro-area data -- 8.7 Empirical evidence for Norway -- 8.7.1 The Incomplete Competition Model -- 8.7.2 The New Keynesian Phillips curve -- 8.7.3 Inflation equations derived from the P*-model -- 8.7.4 Testing for neglected monetary effects on inflation -- 8.7.5 Evaluation of inflation models' properties -- 8.7.6 Comparing the forecasting properties of the models -- 8.7.7 Summary of the findings-Norway vs. Euro area -- 9 Transmission channels and model properties -- 9.1 Introduction -- 9.2 The wage-price model -- 9.2.1 Modelling the steady state -- 9.2.2 The dynamic wage-price model -- 9.3 Closing the model: marginal models for feedback variables -- 9.3.1 The nominal exchange rate v[sub(t)] -- 9.3.2 Mainland GDP output y[sub(t)] -- 9.3.3 Unemployment u[sub(t)] -- 9.3.4 Productivity a[sub(t)] -- 9.3.5 Credit expansion cr[sub(t)] -- 9.3.6 Interest rates for government bonds RBO[sub(t)] and bank loans RL[sub(t)] -- 9.4 Testing exogeneity and invariance -- 9.5 Model performance -- 9.6 Responses to a permanent shift in interest rates -- 9.7 Conclusions -- 10 Evaluation of monetary policy rules.. - Inflation targeting has moved the quality of econometric methodology and practice into the limelight of economic policy debate. This book describes how the discipline has adapted to changing demands by adopting new insights from economic theory and by taking advantage of the methodological and conceptual advances within time series econometrics. The authors interpret and evaluate the last forty years of international research to explain inflation in a small openeconomy. A dynamic incomplete competition model is evaluated and built into a small econometric model to analyse the transmission mechanism, to evaluate monetary policy rules, and to explore the main sources of forecast failure.
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| Emner | |
| Sjanger | |
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| ISBN | 9780191529870
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