Rational Expectations Approach to Macroeconometrics
Testing Policy Ineffectiveness and Efficient-Markets Models
1st Edition
Published on 1. November 2007
185 pages
978-0-226-53192-2 (ISBN)
Description
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.
More details
Other editions
Additional editions
Frederic S. Mishkin
A Rational Expectations Approach to Macroeconometrics
Testing Policy Ineffectiveness and Efficient-Markets Models
Book
01/1986
University of Chicago Press
€29.76
Shipment within 10-20 days
Frederic S. Mishkin
A Rational Expectations Approach to Macroeconometrics
Testing Policy Ineffectiveness and Efficient Markets Models
Book
03/1984
University of Chicago Press
€16.12
Article exhausted; check different version
Content
- Intro
- Contents
- Acknowledgments
- 1. Introduction
- Part 1 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 Forecasts 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 Polynominal Distributed Lags
- Appendix 6.4 Jointly Estimated Forecasting Equations
- 7. Concluding Remarks
- References
- Index
