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Econometrics of Macroeconomic Modelling [Pehme köide]

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(, University of Oslo), (, Central Bank of Norway and Norwegian University of Science and Technology, Trondheim), (, Central Bank of Norway and Norwegian University of Science and Technology, Trondheim), (, Central Bank of Norway)
  • Formaat: Paperback / softback, 368 pages, kõrgus x laius x paksus: 233x157x20 mm, kaal: 570 g
  • Sari: Advanced Texts in Econometrics
  • Ilmumisaeg: 14-Apr-2005
  • Kirjastus: Oxford University Press
  • ISBN-10: 0199246505
  • ISBN-13: 9780199246502
Teised raamatud teemal:
Econometrics of Macroeconomic ModellingSuurem pilt
  • Formaat: Paperback / softback, 368 pages, kõrgus x laius x paksus: 233x157x20 mm, kaal: 570 g
  • Sari: Advanced Texts in Econometrics
  • Ilmumisaeg: 14-Apr-2005
  • Kirjastus: Oxford University Press
  • ISBN-10: 0199246505
  • ISBN-13: 9780199246502
Teised raamatud teemal:
Püsilink: https://www.kriso.ee/db/9780199246502.html
Märksõnad:
Macroeconometric models, in many ways the flagships of the economist's profession in the 1960s, came under increasing attack from both theoretical economist and practitioners in the late 1970s. Critics referred to their lack of microeconomic theoretical foundations, ad hoc models of expectations, lack of identification, neglect of dynamics and non-stationarity, and poor forecasting properties. By the start of the 1990s, the status of macroeconometric models had declined markedly, and had fallen completely out of, and with, academic economics. Nevertheless, unlike the dinosaurs to which they often have been likened, macroeconometric models have never completely disappeared from the scene.

This book describes how and why the discipline of macroeconometric modelling continues to play a role for economic policymaking by adapting to changing demands, in response, for instance, to new policy regimes like inflation targeting. Model builders have adopted new insights from economic theory and taken advantage of the methodological and conceptual advances within time series econometrics over the last twenty years.

The modelling of wages and prices takes a central part in the book as the authors interpret and evaluate the last forty years of international research experience in the light of the Norwegian 'main course' model of inflation in a small open economy. The preferred model is a dynamic model of incomplete competition, which is evaluated against alternatives as diverse as the Phillips curve, Nickell-Layard wage curves, the New Keynesian Phillips curve, and monetary inflation models on data from the Euro area, the UK, and Norway.

The wage price core model is built into a small econometric model for Norway to analyse the transmission mechanism and to evaluate monetary policy rules. The final chapter explores the main sources of forecast failure likely to occur in a practical modelling situation, using the large-scale nodel RIMINI and the inflation models of earlier chapters as case studies.

Arvustused

"...strongly recommended to anyone interested in applied macroeconomics...definitively deserves to be one of the tools in the toolbox." Jesper Linde, Scandinavian Journal of Economics 2005 The book is definitely worth not only buying but also reading...The book successfully bridges the gapbetween economic theory and relevant econometric applications. Costas Milas, International Journal of Forecasting. This book gives an excellent insight into the process of forming a high-quality, real-world macro-model then evaluating and using it. This is an important topic and makes this an important book. Clive W.J. Granger, Nobel Laureate

List of Figures xv
List of Tables xix
List of Abbreviations xxi
1 Introduction 1(16)
1.1 The case for macroeconometric models
1(3)
1.2 Methodological issues (Chapter 2)
4(3)
1.3 The supply-side and wage- and price-setting (Chapters 3-8)
7(4)
1.4 The transmission mechanism (Chapters 9 and 10)
11(4)
1.5 Forecast properties (Chapter 11)
15(2)
2 Methodological issues of large-scale macromodels 17(18)
2.1 Introduction: small vs. large models
17(3)
2.2 The roles of statistics and economic theory in macroeconometrics
20(4)
2.2.1 The influx of statistics into economics
20(2)
2.2.2 Role of economic theory in macroeconometrics
22(2)
2.3 Identifying partial structure in submodels
24(5)
2.3.1 The theory of reduction
24(2)
2.3.2 Congruence
26(3)
2.4 An example: modelling the household sector
29(3)
2.4.1 The aggregate consumption function
30(1)
2.4.2 Rival models
31(1)
2.5 Is modelling subsystems and combining them to a global model a viable procedure?
32(3)
3 Inflation in open economies: the main-course model 35(10)
3.1 Introduction
35(2)
3.2 Cointegration
37(8)
3.2.1 Causality
41(1)
3.2.2 Steady-state growth
42(1)
3.2.3 Early empiricism
42(1)
3.2.4 Summary
43(2)
4 The Phillips curve 45(28)
4.1 Introduction
45(2)
4.1.1 Lineages of the Phillips curve
46(1)
4.2 Cointegration, causality, and the Phillips curve natural rate
47(5)
4.3 Is the Phillips curve consistent with persistent changes in unemployment?
52(2)
4.4 Estimating the uncertainty of the Phillips curve NAIRU
54(2)
4.5 Inversion and the Lucas critique
56(6)
4.5.1 Inversion
56(1)
4.5.2 Lucas critique
57(2)
4.5.3 Model-based vs. data-based expectations
59(2)
4.5.4 Testing the Lucas critique
61(1)
4.6 An empirical open economy Phillips curve system
62(11)
4.6.1 Summary
72(1)
5 Wage bargaining and price-setting 73(16)
5.1 Introduction
73(1)
5.2 Wage bargaining and monopolistic competition
74(4)
5.3 The wage curve NAIRU
78(1)
5.4 Cointegration and identification
79(3)
5.5 Cointegration and Norwegian manufacturing wages
82(4)
5.6 Aggregate wages and prices: UK quarterly data
86(1)
5.7 Summary
87(2)
6 Wage-price dynamics 89(38)
6.1 Introduction
89(1)
6.2 Nominal rigidity and equilibrium correction
90(2)
6.3 Stability and steady state
92(3)
6.4 The stable solution of the conditional wage-price system
95(7)
6.4.1 Cointegration, long-run multipliers, and the steady state
97(1)
6.4.2 Nominal rigidity despite dynamic homogeneity
98(1)
6.4.3 An important unstable solution: the no wedge' case
99(1)
6.4.4 A main-course interpretation
100(2)
6.5 Comparison with the wage-curve NAIRU
102(2)
6.6 Comparison with the wage Phillips curve NAIRU
104(1)
6.7 Do estimated wage-price models support the NAIRU view of equilibrium unemployment?
105(3)
6.7.1 Empirical wage equations
105(2)
6.7.2 Aggregate wage-price dynamics in the United Kingdom
107(1)
6.8 Econometric evaluation of Nordic structural employment estimates
108(9)
6.8.1 The NAWRU
109(2)
6.8.2 Do NAWRU fluctuations match up with structural changes in wage formation?
111(5)
6.8.3 Summary of time varying NAIRUs in the Nordic countries
116(1)
6.9 Beyond the natural rate doctrine: unemployment-inflation dynamics
117(6)
6.9.1 A complete system
117(2)
6.9.2 Wage-price dynamics: Norwegian manufacturing
119(4)
6.10 Summary
123(4)
7 The New Keynesian Phillips curve 127(20)
7.1 Introduction
127(2)
7.2 The NPCM defined
129(1)
7.3 NPCM as a system
130(4)
7.4 Sensitivity analysis
134(2)
7.5 Testing the specification
136(9)
7.5.1 An encompassing representation
136(1)
7.5.2 Testing against richer dynamics
137(2)
7.5.3 Evaluation of the system
139(2)
7.5.4 Testing the encompassing implications
141(3)
7.5.5 The NPCM in Norway
144(1)
7.6 Conclusions
145(2)
8 Money and inflation 147(52)
8.1 Introduction
147(1)
8.2 Models of money demand
148(3)
8.2.1 The velocity of circulation
148(2)
8.2.2 Dynamic models
150(1)
8.2.3 Inverted money demand equations
150(1)
8.3 Monetary analysis of Euro-area data
151(4)
8.3.1 Money demand in the Euro area 1980-97
151(1)
8.3.2 Inversion may lead to forecast failure
152(3)
8.4 Monetary analysis of Norwegian data
155(6)
8.4.1 Money demand in Norway-revised and extended data
155(4)
8.4.2 Monetary effects in the inflation equation?
159(2)
8.5 Inflation models for the Euro area
161(5)
8.5.1 The wage-price block of the Area Wide Model
162(1)
8.5.2 The Incomplete Competition Model
163(1)
8.5.3 The New Keynesian Phillips Curve Model
163(1)
8.5.4 The P*-model of inflation
164(2)
8.6 Empirical evidence from Euro-area data
166(16)
8.6.1 The reduced form AWM inflation equation
166(1)
8.6.2 The reduced form ICM inflation equation
167(2)
8.6.3 The P*-model
169(5)
8.6.4 The New Keynesian Phillips curve
174(1)
8.6.5 Evaluation of the inflation models' properties
175(3)
8.6.6 Comparing the forecasting properties of the models
178(3)
8.6.7 Summary of findings-Euro-area data
181(1)
8.7 Empirical evidence for Norway
182(17)
8.7.1 The Incomplete Competition Model
182(1)
8.7.2 The New Keynesian Phillips curve
183(2)
8.7.3 Inflation equations derived from the P*-model
185(3)
8.7.4 Testing for neglected monetary effects on inflation
188(2)
8.7.5 Evaluation of inflation models' properties
190(2)
8.7.6 Comparing the forecasting properties of the models
192(4)
8.7.7 Summary of the findings-Norway vs. Euro area
196(3)
9 Transmission channels and model properties 199(26)
9.1 Introduction
199(3)
9.2 The wage-price model
202(5)
9.2.1 Modelling the steady state
202(2)
9.2.2 The dynamic wage-price model
204(3)
9.3 Closing the model: marginal models for feedback variables
207(7)
9.3.1 The nominal exchange rate vt
207(3)
9.3.2 Mainland GDP output yt
210(1)
9.3.3 Unemployment ut
210(1)
9.3.4 Productivity at
211(1)
9.3.5 Credit expansion crt
212(1)
9.3.6 Interest rates for government bonds RBOt and bank loans RLt
213(1)
9.4 Testing exogeneity and invariance
214(2)
9.5 Model performance
216(4)
9.6 Responses to a permanent shift in interest rates
220(2)
9.7 Conclusions
222(3)
10 Evaluation of monetary policy rules 225(20)
10.1 Introduction
225(2)
10.2 Four groups of interest rate rules
227(4)
10.2.1 Revisions of output data: a case for real-time variables?
229(1)
10.2.2 Data input for interest rate rules
230(1)
10.2.3 Ex post calculated interest rate rules
230(1)
10.3 Evaluation of interest rate rules
231(12)
10.3.1 A new measure RMSTEs
231(1)
10.3.2 RMSTEs and their decomposition
232(5)
10.3.3 Relative loss calculations
237(3)
10.3.4 Welfare losses evaluated by response surface estimation
240(3)
10.4 Conclusions
243(2)
11 Forecasting using econometric models 245(36)
11.1 Introduction
245(4)
11.2 EqCMs vs. dVARs in macroeconometric forecasting
249(18)
11.2.1 Forecast errors of bivariate EqCMs and dVARs
250(9)
11.2.2 A large-scale EqCM model and four dVAR type forecasting systems based on differenced data
259(8)
11.3 Model specification and forecast accuracy
267(12)
11.3.1 Forecast errors of stylised inflation models
268(5)
11.3.2 Revisiting empirical models of Norwegian inflation
273(3)
11.3.3 Forecast comparisons
276(3)
11.4 Summary and conclusions
279(2)
Appendix 281(22)
A.1 The Lucas critique
281(1)
A.2 Solving and estimating rational expectations models
282(10)
A.2.1 Repeated substitution
282(3)
A.2.2 Undetermined coefficients
285(3)
A.2.3 Factorization
288(2)
A.2.4 Estimation
290(2)
A.2.5 Does the MA(1) process prove that the forward solution applies?
292(1)
A.3 Calculation of interim multipliers in a linear dynamic model: a general exposition
292(11)
A.3.1 An example
295(8)
Bibliography 303(24)
Author Index 327(6)
Subject Index 333


Eilev S. Jansen, b. 1948, is a Director at the Central Bank of Norway and a Professor at Department of Economics, Norwegian University of Science and Technology, Trondheim. He has previously been Head of the Model Building Unit (1983-1988) and Director of Research (1988-2001) at the central bank. He has been a Visiting Scholar at London School of Economics (1975-76), University of California (1993-93,2003-04), and the European Central Bank, Frankfurt (2003). Other affiliations include Department of Economics, University of Oslo (1972-77, 2001-02) and Stastitics Norway (1978-82). He has published papers in international journals and books and he is a co-author of "The econometrics of incomplete time-series/cross-section data" (with Erik Biørn).

Gunnar Bårdsen is Senior Advisor at Norges Bank (Central Bank of Norway) and Associate Professor at the Norwegian University of Science and Technology in Trondheim. He has published papers in macroeconomics, monetary economics, and theoretical and applied econometrics.

Øyvind Eitrheim, b. 1958, has been Director of Research at Norges Bank since 2001. He has previously been Head of the Model Building Unit (1996-2001) at the central bank. He has been a Visiting Scholar at University of California, San Diego (1990-1991). Eitrheim has been with Norges Bank since January 1984. He has published papers in macroeconomics, monetary economics, and theoretical and applied econometrics.

Ragnar Nymoen, b. 1957, is Professor at the Department of Economics, University of Oslo. He has published papers in macroeconomics and econometrics. In the period 1985-1996, he worked as an economists in the Research Department in Central Bank of Norway.