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The Econometrics of Macroeconomic Modelling (Paperback)
Loot Price: R2,247
Discovery Miles 22 470
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The Econometrics of Macroeconomic Modelling (Paperback)
Series: Advanced Texts in Econometrics
Expected to ship within 10 - 15 working days
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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.
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