Econometric Modelling: Techniques and ApplicationsSean Holly, Martin Weale Macroeconomic modeling has been one of the most important and influential areas of economic research. This book presents contributions from the leading researchers working in this area as part of the ongoing research project sponsored by the Economic and Social Research Council, Bank of England and UK Treasury. The papers combine a description of the latest techniques used in modeling the economy with an account of the way that models can be used for purposes of policy analysis. It is designed for use by advanced students and professional economists. |
Contents
General equilibrium modelling of UK tax policy | 69 |
A structural cointegrating VAR approach | 94 |
Unemployment the natural rate and structural change | 132 |
Macroeconomic models at the Bank of England | 158 |
Estimated stabilisation costs of the EMU | 188 |
Optimal monetary policy | 209 |
How tough should monetary policy be if inflation | 237 |
Technical progress and the natural rate in models | 254 |
The conduct of monetary policy when the business | 276 |
Common terms and phrases
adjustment analysis approach Bank of England behaviour business cycle capital cent changes Clements and Hendry cointegrating COMPACT confidence intervals costs countries deflation demand deterministic domestic dynamic econometric econometric models Economic Forecasting effects empirical EMU regime equation estimated example exogenous Figure forecast errors HM Treasury household important impulse responses income increase inflation rate inflation target interest rate reaction investment Journal labour market large-scale models linear long-run macroeconometric models Macroeconomic Modelling monetary policy NAIRU NIESR nominal interest rates non-linear optimal optimisation output gap output growth outturn parameters period Pesaran Phillips curve policy rule price equation price level productivity rate reaction functions rational expectations real business cycle real exchange rate real interest rates real wage relationships restrictions sample sector shocks short-run simple rule stabilisation statistics stochastic simulation structural breaks tax models tax rate technical progress tests theory tion unemployment values variables variance Wald tests