A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models available in Paperback
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- University of Chicago Press
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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.
|Publisher:||University of Chicago Press|
|Series:||National Bureau of Economic Research Monograph Series|
|Edition description:||New Edition|
|Product dimensions:||6.00(w) x 9.00(h) x 0.60(d)|
About the Author
Frederic S. Mishkin is the Alfred Lerner Professor of Banking and Financial Institutions at the Graduate School of Business at Columbia University and a research associate of the National Bureau of Economic Research. He is the author of A Rational Expectations Approach to Macroeconometrics, published by the University of Chicago Press.
Table of Contents
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