Rational Expectations and Policy Evaluation in Macroeconometric Models
Author | : Paul A. Anderson |
Publisher | : |
Total Pages | : 0 |
Release | : 1977 |
Genre | : Monetary policy |
ISBN | : |
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Author | : Paul A. Anderson |
Publisher | : |
Total Pages | : 0 |
Release | : 1977 |
Genre | : Monetary policy |
ISBN | : |
Author | : Frederic S. Mishkin |
Publisher | : University of Chicago Press |
Total Pages | : 184 |
Release | : 2007-11-01 |
Genre | : Business & Economics |
ISBN | : 0226531929 |
A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.
Author | : P. Fisher |
Publisher | : Springer Science & Business Media |
Total Pages | : 215 |
Release | : 2013-04-17 |
Genre | : Business & Economics |
ISBN | : 9401580022 |
It is commonly believed that macroeconomic models are not useful for policy analysis because they do not take proper account of agents' expectations. Over the last decade, mainstream macroeconomic models in the UK and elsewhere have taken on board the `Rational Expectations Revolution' by explicitly incorporating expectations of the future. In principle, one can perform the same technical exercises on a forward expectations model as on a conventional model -- and more! Rational Expectations in Macroeconomic Models deals with the numerical methods necessary to carry out policy analysis and forecasting with these models. These methods are often passed on by word of mouth or confined to obscure journals. Rational Expectations in Macroeconomic Models brings them together with applications which are interesting in their own right. There is no comparable textbook in the literature. The specific subjects include: (i) solving for model consistent expectations; (ii) the choice of terminal condition and time horizon; (iii) experimental design: i.e., the effect of temporary vs permanent, anticipated vs. unanticipated shocks; deterministic vs. stochastic, dynamic vs. static simulation; (iv) the role of exchange rate; (v) optimal control and inflation-output tradeoffs. The models used are those of the Liverpool Research Group in Macroeconomics, the London Business School and the National Institute of Economic and Social Research.
Author | : Gunnar BĂ„rdsen |
Publisher | : Oxford University Press, USA |
Total Pages | : 361 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 0199246491 |
This work 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.
Author | : Roman Frydman |
Publisher | : Princeton University Press |
Total Pages | : 440 |
Release | : 2013 |
Genre | : Business & Economics |
ISBN | : 0691155232 |
This book originated from a 2010 conference marking the fortieth anniversary of the publication of the landmark "Phelps volume," Microeconomic Foundations of Employment and Inflation Theory, a book that is often credited with pioneering the currently dominant approach to macroeconomic analysis. However, in their provocative introductory essay, Roman Frydman and Edmund Phelps argue that the vast majority of macroeconomic and finance models developed over the last four decades derailed, rather than built on, the Phelps volume's "microfoundations" approach. Whereas the contributors to the 1970 volume recognized the fundamental importance of according market participants' expectations an autonomous role, contemporary models rely on the rational expectations hypothesis (REH), which rules out such a role by design. The financial crisis that began in 2007, preceded by a spectacular boom and bust in asset prices that REH models implied could never happen, has spurred a quest for fresh approaches to macroeconomic analysis. While the alternatives to REH presented in Rethinking Expectations differ from the approach taken in the original Phelps volume, they are notable for returning to its major theme: understanding aggregate outcomes requires according expectations an autonomous role. In the introductory essay, Frydman and Phelps interpret the various efforts to reconstruct the field--some of which promise to chart its direction for decades to come. The contributors include Philippe Aghion, Sheila Dow, George W. Evans, Roger E. A. Farmer, Roman Frydman, Michael D. Goldberg, Roger Guesnerie, Seppo Honkapohja, Katarina Juselius, Enisse Kharroubi, Blake LeBaron, Edmund S. Phelps, John B. Taylor, Michael Woodford, and Gylfi Zoega.
Author | : Andrew J. Hughes Hallett |
Publisher | : Springer Science & Business Media |
Total Pages | : 295 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 1461552192 |
Macroeconomic Modelling has undergone radical changes in the last few years. There has been considerable innovation in developing robust solution techniques for the new breed of increasingly complex models. Similarly there has been a growing consensus on their long run and dynamic properties, as well as much development on existing themes such as modelling expectations and policy rules. This edited volume focuses on those areas which have undergone the most significant and imaginative developments and brings together the very best of modelling practice. We include specific sections on (I) Solving Large Macroeconomic Models, (II) Rational Expectations and Learning Approaches, (III) Macro Dynamics, and (IV) Long Run and Closures. All of the contributions offer new research whilst putting their developments firmly in context and as such will influence much future research in the area. It will be an invaluable text for those in policy institutions as well as academics and advanced students in the fields of economics, mathematics, business and government. Our contributors include those working in central banks, the IMF, European Commission and established academics.
Author | : Olivier Basdevant |
Publisher | : |
Total Pages | : 32 |
Release | : 2003 |
Genre | : Economic forecasting |
ISBN | : |
Author | : Mohammed F Khayum |
Publisher | : Routledge |
Total Pages | : 216 |
Release | : 2019-03-07 |
Genre | : Social Science |
ISBN | : 0429694725 |
This book provides an overview of macroeconometric modeling for less developed countries, a description of the structure and performance of Guyana's economy, an empirical testing of the model using annual data for Guyana, and a simulation approach to policy evaluation.
Author | : Robert E. Lucas |
Publisher | : U of Minnesota Press |
Total Pages | : 335 |
Release | : 1988 |
Genre | : |
ISBN | : 1452908281 |
Assumptions about how people form expectations for the future shape the properties of any dynamic economic model. To make economic decisions in an uncertain environment people must forecast such variables as future rates of inflation, tax rates, governme.
Author | : Preston J. Miller |
Publisher | : MIT Press |
Total Pages | : 534 |
Release | : 1994 |
Genre | : Business & Economics |
ISBN | : 9780262631556 |
These 21 readings describe the orgins and growth of the macroeconomic analysis known as "rational expectations". The readings trace the development of this approach from the late 1970s to the 1990s.