A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models

Front Cover
University of Chicago Press, Nov 1, 2007 - Business & Economics - 179 pages
1 Review
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.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Introduction
3
The Econometric Methodology
11
Appendix 21 Identification and Testing
29
Appendix 22 An Annotated Computer Program
34
An Integrated View of Tests of Rationality Market Efficiency and the ShortRun Neutrality of Aggregate Demand Policy
46
Are Market Forecasts Rational?
61
Monetary Policy and Interest Rates An Efficient MarketsRational Expectations Approach
78
Appendix 51 Estimates of the Forecasting Equations
99
Does Anticipated Aggregate Demand Policy Matter?
112
Appendix 61 Out and Unemployment Models with Barro and Rush Specifications
131
Appendix 62 Results with Nominal GNP Growth and Inflation as as the Aggregate Demand Variable
135
Appendix 63 Results Not Using Polynominal Distributed Lags
145
Appendix 64 Jointly Estimated Forecasting Equations
152
Concluding Remarks
156
References
159
Index
169

Additional Experiments Using the TwoStep Procedure
105

Other editions - View all

Common terms and phrases

References to this book

All Book Search results »

About the author (2007)

Frederic S. Mishkin is Alfred Lerner Professor of Banking and Financial Institutions at the Graduate School of Business, Columbia University, Research Associate at the National Bureau of Economic Research, a past Executive Vice President and Director of Research at the Federal Reserve Bank of New York and after finishing this book was appointed a member of the Board of Governors of the Federal Reserve System. He is the author of "The Next Great Globalization: How Disadvantaged Nations Can Harness Their Financial Systems to Get Rich" and other books.

Bibliographic information