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Author: Ronald G. Bodkin
Publisher: Aldershot, Hants, England : E. Elgar
ISBN:
Category : Business & Economics
Languages : en
Pages : 600
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Book Description
This major book presents, for the first time, an authoritative history of developments in macroeconometric modelling since the 1930s. It focuses in particular on the construction of mathematico-statistical models of entire economies, estimated from national accounts and other macroeconomic data. International and comparative in scope, the book contains chapters prepared by specialists from the different countries concerned. This landmark book is indispensable to an understanding of the history and development of large scale econometric models of modern economies.
Author: Ronald G. Bodkin
Publisher: Aldershot, Hants, England : E. Elgar
ISBN:
Category : Business & Economics
Languages : en
Pages : 600
Get Book Here
Book Description
This major book presents, for the first time, an authoritative history of developments in macroeconometric modelling since the 1930s. It focuses in particular on the construction of mathematico-statistical models of entire economies, estimated from national accounts and other macroeconomic data. International and comparative in scope, the book contains chapters prepared by specialists from the different countries concerned. This landmark book is indispensable to an understanding of the history and development of large scale econometric models of modern economies.
Author: Gunnar Bårdsen
Publisher: Oxford University Press, USA
ISBN: 0199246491
Category : Business & Economics
Languages : en
Pages : 361
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Book Description
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: Markus Brunnermeier
Publisher: University of Chicago Press
ISBN: 022609264X
Category : Business & Economics
Languages : en
Pages : 286
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Book Description
The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater role. Markus Brunnermeier and Arvind Krishnamurthy have assembled contributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate economic measurement. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. While these types of vulnerabilities have often been identified, they have not been consistently measured. In a financial world of increasing complexity and uncertainty, this volume is an invaluable resource for policymakers working to improve current measurement systems and for academics concerned with conceptualizing effective measurement.
Author: Jeremy Kwok
Publisher: Vernon Press
ISBN: 164889268X
Category : Business & Economics
Languages : en
Pages : 242
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Book Description
‘Macroeconometric Models for Portfolio Management’ begins by outlining a portfolio management framework into which macroeconometric models and backtesting investment strategies are integrated. It is followed by a discussion on the theoretical backgrounds of both small and global large macroeconometric models, including data selection, estimation, and applications. Other practical concerns essential to managing a portfolio with decisions driven by macro models are also covered: model validation, forecast combination, and evaluation. The author then focuses on applying these models and their results on managing the portfolio, including making trading rules and asset allocation across different assets and risk management. The book finishes by showing portfolio examples where different investment strategies are used and illustrate how the framework can be applied from the beginning of collecting data, model estimation, and generating forecasts to how to manage portfolios accordingly. This book aims to bridge the gap between academia and practising professionals. Readers will attain a rigorous understanding of the theory and how to apply these models to their portfolios. Therefore, ‘Macroeconometric Models for Portfolio Management’ will be of interest to academics and scholars working in macroeconomics and finance; to industry professionals working in financial economics and asset management; to asset managers and investors who prefer systematic investing over discretionary investing; and to investors who have a strong interest in macroeconomic influences on their portfolio.
Author: Kenneth Frank Wallis
Publisher: Edward Elgar Publishing
ISBN: 9781782541622
Category : Business & Economics
Languages : en
Pages : 462
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Book Description
'An excellent reference volume of this author's work, bringing together articles published over a 25 year span on the statistical analysis of economic time series, large scale macroeconomic modelling and the interface between them.' - Aslib Book Guide This major volume of essays by Kenneth F. Wallis features 28 articles published over a quarter of a century on the statistical analysis of economic time series, large-scale macroeconometric modelling, and the interface between them. The first part deals with time-series econometrics and includes significant early contributions to the development of the LSE tradition in time-series econometrics, which is the dominant British tradition and has considerable influence worldwide. Later sections discuss theoretical and practical issues in modelling seasonality and forecasting with applications in both large-scale and small-scale models. The final section summarizes the research programme of the ESRC Macroeconomic Modelling Bureau, a unique comparison project among economy-wide macroeconometric models.
Author: Ray C. FAIR
Publisher: Harvard University Press
ISBN: 0674036638
Category : Business & Economics
Languages : en
Pages : 314
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Book Description
Macroeconomics tries to describe and explain the economywide movement of prices, output, and unemployment. The field has been sharply divided among various schools, including Keynesian, monetarist, new classical, and others. It has also been split between theorists and empiricists. Ray Fair is a resolute empiricist, developing and refining methods for testing theories and models. The field cannot advance without the discipline of testing how well the models approximate the data. Using a multicountry econometric model, he examines several important questions, including what causes inflation, how monetary authorities behave and what are their stabilization limits, how large is the wealth effect on aggregate consumption, whether European monetary policy has been too restrictive, and how large are the stabilization costs to Europe of adopting the euro. He finds, among other things, little evidence for the rational expectations hypothesis and for the so-called non-accelerating inflation rate of unemployment (NAIRU) hypothesis. He also shows that the U.S. economy in the last half of the 1990s was not a new age economy.
Author: Dirk Niepelt
Publisher: MIT Press
ISBN: 0262043475
Category : Business & Economics
Languages : en
Pages : 318
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Book Description
A concise but rigorous and thorough introduction to modern macroeconomic theory. This book offers an introduction to modern macroeconomic theory. It is concise but rigorous and broad, covering all major areas in mainstream macroeconomics today and showing how macroeconomic models build on and relate to each other. The self-contained text begins with models of individual decision makers, proceeds to models of general equilibrium without and with friction, and, finally, presents positive and normative theories of economic policy. After a review of the microeconomic foundations of macroeconomics, the book analyzes the household optimization problem, the representative household model, and the overlapping generations model. It examines risk and the implications for household choices and macroeconomic outcomes; equilibrium asset returns, prices, and bubbles; labor supply, growth, and business cycles; and open economy issues. It introduces frictions and analyzes their consequences in the labor market, financial markets, and for investment; studies money as a unit of account, store of value, and medium of exchange; and analyzes price setting in general equilibrium. Turning to government and economic policy, the book covers taxation, debt, social security, and monetary policy; optimal fiscal and monetary policies; and sequential policy choice, with applications in capital income taxation, sovereign debt and default, politically motivated redistribution, and monetary policy biases. Macroeconomic Analysis can be used by first-year graduate students in economics and students in master's programs, and as a supplemental text for advanced courses.
Author: Ufuk Akcigit
Publisher: Palgrave Macmillan
ISBN: 9783030714567
Category : Business & Economics
Languages : en
Pages : 211
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Book Description
This open access book encompasses a collection of in-depth analyses showcasing the challenges and ways forward for macroeconomic modelling of R&D and innovation policies. Based upon the proceedings of the EC-DG JRC-IEA workshop held in Brussels in 2017, it presents cutting-edge contributions from a number of leading economists in the field. It provides a comprehensive overview of the current academic and policy challenges surrounding R&D as well as of the state-of-the-art modelling techniques. The book brings to the forefront outstanding issues related to the assessment of the macroeconomic impact of R&D policies and its modelling. It speaks to the rising importance of R&D and innovation policy, and the proliferation of macroeconomic models featuring endogenous technological change. The contents of this book will be of interest to both academic and policy audiences working in the fields of R&D and innovation.
Author: Gunnar Bårdsen
Publisher: OUP Oxford
ISBN: 0191529877
Category : Business & Economics
Languages : en
Pages : 362
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Book Description
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.
Author: Anthony Garratt
Publisher: OUP Oxford
ISBN: 0191538019
Category : Business & Economics
Languages : en
Pages : 400
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Book Description
This book provides a comprehensive description of the state-of-the-art in modelling global and national economies. It introduces the long-run structural approach to modelling that can be readily adopted for use in understanding how economies work, and in generating forecasts for decision- and policy-makers. The book contains a thorough description of recent developments in macroeconomics and econometrics, which should be of interest to advanced students and researchers, but is also written to be accessible and helpful to practitioners in government and the private sector. The long-run structural approach is illustrated with various global and national examples, including a step-by-step description of the development and use of a model of the UK economy. Throughout, the book emphasises the use of macroeconometric modelling in the real world and is written in a way that ensures the techniques illustrated can be replicated or applied in new contexts. The transparency and pragmatism of the modelling approach used within this book will be attractive to practitioners who need manageable and interpretable models to answer specific questions.
