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A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models de Frederic S. Mishkin

A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models: National Bureau of Economic Research Monograph

Autor Frederic S. Mishkin
en Limba Engleză Paperback – 29 feb 1984
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.
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Specificații

ISBN-13: 9780226531878
ISBN-10: 0226531872
Pagini: 179
Dimensiuni: 152 x 229 x 15 mm
Greutate: 0.18 kg
Ediția:Revised
Editura: University of Chicago Press
Colecția University of Chicago Press
Seria National Bureau of Economic Research Monograph

Cuprins

Acknowledgments
1. Introduction

Part I: Econometric Theory and Methodology
 
2. The Econometric Methodology
     Appendix 2.1 Identification and Testing
     Appendix 2.2 An Annotated Computer Program

3. An Integrated View of Tests of Rationality, Market Efficiency, and the Short-Run Neutrality of Aggregate Demand Policy

Part 2: Empirical Studies

4. Are Market Forces Rational?

5. Monetary Policy and Interest Rates: An Efficient Markets-Rational Expectations Approach
     Appendix 5.1 Estimates of the Forecasting Equations
     Appendix 5.2 Additional Experiments Using the Two-Step Procedure

6. Does Anticipated Aggregate Demand Policy Matter?
     Appendix 6.1 Output and Unemployment Models with Barro and Rush Specification
     Appendix 6.2 Results with Nominal GNP Growth and Inflation as the Aggregate Demand Variable
     Appendix 6.3 Results Not Using Polynomial Distributed Lags
     Appendix 6.4 Jointly Estimated Forecasting Equations

7. Concluding Remarks

References
Index