Global and national macroeconometric modelling: a long-run structural approach
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Oxford [u.a.]
Oxford Univ. Press
2006
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Table of contents Inhaltsverzeichnis |
| Beschreibung: | Hier auch später erschienene, unveränderte Nachdrucke |
| Beschreibung: | XV, 380 S. graph. Darst. |
| ISBN: | 9780199296859 0199296855 9780199650460 |
Internformat
MARC
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| 245 | 1 | 0 | |a Global and national macroeconometric modelling |b a long-run structural approach |c Anthony Garratt ... |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Oxford [u.a.] |b Oxford Univ. Press |c 2006 | |
| 300 | |a XV, 380 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Hier auch später erschienene, unveränderte Nachdrucke | ||
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Econometric models | |
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| 650 | 0 | 7 | |a Dynamische Makroökonomie |0 (DE-588)4200428-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Makroökonomisches Modell |0 (DE-588)4074486-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Nationalmodell |0 (DE-588)4120788-9 |2 gnd |9 rswk-swf |
| 651 | 7 | |a Großbritannien |0 (DE-588)4022153-2 |2 gnd |9 rswk-swf | |
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| 700 | 1 | |a Garratt, Anthony |e Sonstige |4 oth | |
| 856 | 4 | |u http://www.loc.gov/catdir/enhancements/fy0636/2006010285-t.html |3 Table of contents | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-014823232 | ||
Datensatz im Suchindex
| _version_ | 1804135392425803776 |
|---|---|
| adam_text | Contents
Listoftables xii
List offigures xiii
1 Introduction 1
1.1 Historical background 3
1.2 Alternative modelling approaches 4
1.3 The long run modelling approach 6
1.4 The Organisation of the book 9
2 Macroeconometric modelling: Alternative approaches 13
2.1 Large scale simultaneous equation modeis 13
2.2 Unrestricted and structural VARs 16
2.2.1 Unrestricted VARs 16
2.2.2 Structural VARs 18
2.3 Dynamic stochastic general equilibrium modeis 19
2.4 The structural cointegrating VAR approach 23
2.4.1 Comparisons with the alternative approaches 24
3 National and global structural macroeconometric modelling 33
3.1 Identification in a dynamic structural vector error
correction model 34
3.1.1 Identifying long run relationships 36
3.1.2 Identifying short run structural parameters
and shocks 37
3.1.3 A modelling strategy 39
3.2 Specifying the dynamic structure of a
macroeconomic model 41
3.2.1 Dynamics of DSGE modeis 41
3.2.2 Dynamics of adjustment cost modeis 46
3.2.3 Identification of short run dynamics based on
tentative theory on contemporaneous relations 48
3.2.4 Measuring the effects of monetary policy 51
vii
3.2.5 Identification using tentative theory on
long run relations 54
3.3 National macroeconomic modelling in a global context 56
3.3.1 VARX modeis: VAR modeis with weakly
exogenous variables 57
3.3.2 Developing satellite or sectoral modeis 59
3.4 Global vector autoregressive (GVAR) modeis 62
4 An economic theory of the long run 67
4.1 Production technology and Output determination 68
4.2 Arbitrage conditions 71
4.3 Accounting identities and stock flow relations 74
4.4 Long run solvency requirements 75
4.4.1 Liquidity (real money balances) 78
4.4.2 Imports and exports 78
4.5 Econometric formulation of the model 81
5 An economic theory of the short run 87
5.1 Modelling monetary policy 89
5.1.1 The monetary authority s decision problem 89
5.1.2 The derivation of the base rate 92
5.1.3 The structural interest rate equation 96
5.2 Alternative model specifications 98
5.2.1 Forecast inflation targeting 98
5.2.2 Choice of targets and their desired levels 99
6 Econometric methods: A review 105
6.1 Augmented VAR or VARX modeis 107
6.1.1 The structural VARX model 107
6.1.2 The reduced form VARX model 109
6.1.3 Impulse response analysis 110
6.2 Cointegrating VAR modeis 117
6.2.1 Treatment of the deterministic components 118
6.2.2 Trace and maximum eigenvalue teste of
cointegration 122
6.2.3 Identifying long run relationships in a
cointegrating VAR 123
6.2.4 Estimation of the short run parameters of the
conditional VEC model 128
6.2.5 Analysis of stability of the cointegrated System 129
6.2.6 Impulse response analysis in cointegrating VARs 132
viii
I
6.3 The cointegrated VAR model with 7(1)
exogenous variables 135
6.4 Small sample properties of test statistics 140
6.5 Empirical distribution of impulse response functions and
persistence profiles 141
7 Probability forecasting: Concepts and analysis 145
7.1 Probability forecasting 145
7.1.1 Probability forecasts in a simple univariate AR(1)
model 147
7.2 Modelling forecast uncertainties 153
7.2.1 Future and parameter uncertainties 153
7.2.2 Model uncertainty: Combining probability forecasts 157
7.2.3 Bayesian model averaging 158
7.2.4 Pooling of forecasts 159
7.3 Computation of probability forecasts: Some practical
issues 161
7.3.1 Computation of probability forecasts using
analytic methods 163
7.3.2 Computation of probability forecasts based on
VAR modeis by stochastic Simulation 164
7.3.3 Generating simulated errors 166
7.4 Estimation and forecasting with conditional modeis 168
8 The UK macroeconomy 171
8.1 Domestic and foreign Output 173
8.2 Domestic and foreign prices 178
8.3 Exchange rates 187
8.4 Domestic and foreign interest rates 189
8.5 Real money balances relative to income 193
9 A long run structural model of the UK 197
9.1 The different stages of estimation and testing 198
9.2 Unit root properties of the core variables 200
9.3 Testing and estimating of the long run relations 204
9.3.1 Small sample properties of the tests of restrictions
on the cointegrating vectors 208
9.4 The vector error correction model 209
9.4.1 The long run estimates 209
9.4.2 Error correction specifications 212
ix
9.4.3 Comparing the core model with benchmark
univariate models 218
9.5 An alternative model specification 221
10 Impulse response and trend/cycle properties of the UK model 225
10.1 Identification of monetary policy shocks 227
10.2 Estimates of impulse response functions 231
10.2.1 Effects of an oil price shock 232
10.2.2 Effects of a foreign Output equation shock 236
10.2.3 Effects of a foreign interest rate equation shock 239
10.2.4 Effects of a monetary policy shock 242
10.3 Trend/cycle decomposition in cointegrating VARs 248
10.3.1 Relationship of GRW and BN decompositions 250
10.3.2 Computation of the GRW decomposition 252
10.3.3 An application to the UK model 254
10.4 Concluding remarks 260
11 Probability event forecasting with the UK model 263
11.1 An updated Version of the core model 264
11.1.1 Estimation results and in sample diagnostics 265
11.1.2 Model uncertainty 266
11.1.3 Evaluation and comparisons of probability
forecasts 269
11.2 Probability forecasts of inflation and Output growth 274
11.2.1 Point and interval forecasts 275
11.2.2 Predictive distribution functions 278
11.2.3 Event probability forecasts 280
11.3 A postscript 286
11.4 Concluding remarks 286
12 Global modelling and other applications 289
12.1 Recent applications of the structural cointegrating VAR
approach 289
12.2 Regional interdependencies and credit risk modelling 292
12.3 A monthly Version of the core model 297
12.4 Probability forecasting and measuring financial distress
in the UK 303
12.4.1 A satellite model of the UK financial sector 303
12.4.2 UK financial distress in the early 1990s and
early 2000s 305
12.5 Directions for future research 306
x
13 Concluding remarks 309
Appendices
A Derivation of the interest rate rule 315
A.l The relationship between policy instruments and targets 316
A.2 Deriving the monetary authority s reaction function 318
A.3 Inflation targeting and the base rate reaction function 319
A.4 Reaction functions and targeting future values of variables 320
B Invariance properties of the impulse responses with respect to
monetary policy shocks 323
C Data for the UK model 327
C.l Defmitions and sources of the core model variables 327
D Garns programs and result files 333
D.l General comments on the Gauss programs 334
D.2 Impulse response and persistence profile programs 334
D.3 Programs for Computing probability forecasts 337
D.3.1 Programs for Computing out of sample
probability event forecasts 338
D.3.2 Programs for Computing in sample probability
event forecast evaluation 339
D.4 Program for Computing the decomposition of trends in
cointegrating VARs 342
Bibliography 343
Index 363
xi
List of tables
8.1 Historical unconditional probabilities for output growth (4 quarter 178
moving average).
8.2 Historical unconditional probabilities for Inflation (4 quarter 182
moving average).
9.1a Augmented Dickey Fuller unit root tests applied to variables in the 201
core model, 1965ql 1999q4.
9.1b Phillips and Perron unit root tests applied to variables in the core 202
model, 1965ql 1999q4.
9.2 Akaike and Schwarz Information Criteria for lag Order selection. 204
9.3 Cointegration rank test statistics for the core model, 205
(Pt ptt,et,rt,r*t,yt,y*t,ht yt,N tlfi)
9.4 Reduced form error correction specification for the core model. 213
9.5 Model selection criteria for the core model and alternative time 220
series specifications.
11.1 Error correction specification for the over identified model, 267
1985ql 2001ql.
11.2 Forecast evaluation of the benchmark model. 270
11.3 Diagnostic statistics for the evaluation of benchmark and average 271
model probability forecasts.
11.4a Point and interval forecasts of inflation and output growth (four 276
quarterly moving averages, per cent, per annum).
11.4b Point and interval forecasts of inflation and output growth (quarter 276
on quarter changes, per cent, per annum).
11.5a Probability forecasts of Single events involving inflation. 283
11.5b Probability forecasts of events involving output growth and 283
inflation.
12.1 Reduced form error correction equations of the monthly model. 300
12.2 Probability forecasts involving credit income disequilibria and low 306
growth 1990q2 1992ql and 2001q2 2003ql
xii
List of figures
8.1a UK output, yt. 173
8.1b First difference of UK Output, Ayt. 174
8.1c Foreign Output, y*. 174
8.1d First difference of foreign output, Ay*. 175
8.1e UK and foreign Output, yt and y^. 176
8.1 f Difference of UK and foreign output, yt y* 176
8.2a UK producer prices, pt. 179
8.2b First difference of UK producer prices, Apt. 179
8.2c UK retail prices, pt. 180
8.2d First difference of UK retail prices, Apt. 180
8.2e Second difference of UK producer prices, A2pt 182
8.2f Second difference of UK retail prices, A2pt. 183
8.3a Foreign producer prices, p . 184
8.3b First difference of foreign producer prices, Ap*t. 184
8.3c Relative prices, pt p . 185
8.3d First difference of relative prices, A(pt p*t). 185
8.4a Oil price, p°. 186
8.4b First difference of the oil price, Ap°t. l86
8.5a Effective exchange rate, et. l87
8.5b First difference of the effective exchange rate, Aet. 188
8.6a UK interest rates, rt. i89
8.6b First difference of UK interest rates, Art. 190
8.6c Foreign interest rates, rf. 190
8.6d First difference of foreign interest rates, At*. 191
8.6e UK and foreign interest rates, rt and i*t. 191
8.6f Difference of UK and foreign interest rates, rt r?. 192
8.7a Money income ratio, ht yt 194
8.7b First difference of the money income ratio, A(ht yt). 194
xiii
9.1 Asymptotic and empirical distribution generated by the simulated 209
annealing algorithm of the test of the long run over identifying
restrictions.
9.2a Actual and fitted values for the A(pt p*) reduced form ECM 214
equation.
9.2b Actual and fitted values for the Aet reduced form ECM equation. 214
9.2c Actual and fitted values for the Art reduced form ECM equation. 215
9.2d Actual and fitted values for the Ar* reduced form ECM equation. 215
9.2e Actual and fitted values for the Ayf reduced form ECM equation. 216
9.2f Actual and fitted values for the Ay* reduced form ECM equation. 216
9.2g Actual and fitted values for the A(/if yt) reduced form ECM 217
equation.
9.2h Actual and fitted values for the A(Apt) reduced form ECM equation. 217
10.1 Persistence profiles of the long run relations of a positive unit shock 234
to the oil price.
10.2 Generalised impulse responses of a positive unit shock to the oü 235
price.
10.3 Persistence profiles of the long run relations of a positive unit shock 237
to the foreign Output equation.
10.4 Generalised impulse responses of a positive unit shock to the 238
foreign Output equation.
10.5 Persistence profiles of the long run relations of a positive unit shock 240
to the foreign interest rate equation.
10.6 Generalised impulse responses of a positive unit shock to the 241
foreign interest rate equation.
10.7 Persistence profiles of the long run relations of a positive unit shock 243
to monetary policy.
10.8 Generalised impulse responses of a positive unit shock to monetary 244
policy.
10.9 Persistence profiles of the long run relations of a positive unit shock 246
to the UK interest rate equation.
10.10 Generalised impulse responses of a positive unit shock to the UK 247
interest rate equation.
10.11 Actual UK Output (yt) and the GRW permanent component. 256
10.12 GRW transitory components of UK Output and Inflation: yt and Apt. 256
10.13 GRW and BN transitory components ofUK Output: yt. 257
10.14 GRW transitory components ofUK and foreign Output: yt and y*. 258
10.15 BN transitory components of UK and foreign Output: yt and y . 258
10.16 Hodrick Prescott transitory components of UK and foreign Output: 259
yt anäy*t.
xiv
10.17 GRW transitory components of UK and foreign interest rates: rt 260
andr*.
10.18 Actual and the GRW permanent component of UK interest rates: rt. 260
11.1a Inflation (four quarter moving average). 277
11.1b Output growth (four quarter moving average). 278
11.2a Predictive distribution functions for inflation (benchmark model 279
with parameter uncertainty).
11.2b Predictive distribution functions for Output growth (benchmark 279
model with parameter uncertainty).
11.3 Probability estimates of inflation falling within the target ränge 281
using the benchmark model.
11.4 Probability estimates of a recession using the benchmark model. 282
11.5 Probability estimates of meeting the inflation target without a 284
recession (future and parameter uncertainty).
11.6 Probability estimates of meeting the inflation target without a 285
recession (future uncertainty only).
12.1 Impulse response of a negative one Standard error shock to US real 296
equity prices on real equity prices across regions.
12.2 Impulse response of a negative one Standard error shock to US real 297
equity prices on real Output across regions.
12.3 Monthly generalised impulse responses to a positive unit shock to 301
monetary policy.
12.4 Monthly generalised impulse responses to a positive unit shock to 302
the oil price.
xv
|
| adam_txt |
Contents
Listoftables xii
List offigures xiii
1 Introduction 1
1.1 Historical background 3
1.2 Alternative modelling approaches 4
1.3 The long run modelling approach 6
1.4 The Organisation of the book 9
2 Macroeconometric modelling: Alternative approaches 13
2.1 Large scale simultaneous equation modeis 13
2.2 Unrestricted and structural VARs 16
2.2.1 Unrestricted VARs 16
2.2.2 Structural VARs 18
2.3 Dynamic stochastic general equilibrium modeis 19
2.4 The structural cointegrating VAR approach 23
2.4.1 Comparisons with the alternative approaches 24
3 National and global structural macroeconometric modelling 33
3.1 Identification in a dynamic structural vector error
correction model 34
3.1.1 Identifying long run relationships 36
3.1.2 Identifying short run structural parameters
and shocks 37
3.1.3 A modelling strategy 39
3.2 Specifying the dynamic structure of a
macroeconomic model 41
3.2.1 Dynamics of DSGE modeis 41
3.2.2 Dynamics of adjustment cost modeis 46
3.2.3 Identification of short run dynamics based on
'tentative' theory on contemporaneous relations 48
3.2.4 Measuring the effects of monetary policy 51
vii
3.2.5 Identification using 'tentative' theory on
long run relations 54
3.3 National macroeconomic modelling in a global context 56
3.3.1 VARX modeis: VAR modeis with weakly
exogenous variables 57
3.3.2 Developing satellite or sectoral modeis 59
3.4 Global vector autoregressive (GVAR) modeis 62
4 An economic theory of the long run 67
4.1 Production technology and Output determination 68
4.2 Arbitrage conditions 71
4.3 Accounting identities and stock flow relations 74
4.4 Long run solvency requirements 75
4.4.1 Liquidity (real money balances) 78
4.4.2 Imports and exports 78
4.5 Econometric formulation of the model 81
5 An economic theory of the short run 87
5.1 Modelling monetary policy 89
5.1.1 The monetary authority's decision problem 89
5.1.2 The derivation of the base rate 92
5.1.3 The structural interest rate equation 96
5.2 Alternative model specifications 98
5.2.1 Forecast inflation targeting 98
5.2.2 Choice of targets and their desired levels 99
6 Econometric methods: A review 105
6.1 Augmented VAR or VARX modeis 107
6.1.1 The structural VARX model 107
6.1.2 The reduced form VARX model 109
6.1.3 Impulse response analysis 110
6.2 Cointegrating VAR modeis 117
6.2.1 Treatment of the deterministic components 118
6.2.2 Trace and maximum eigenvalue teste of
cointegration 122
6.2.3 Identifying long run relationships in a
cointegrating VAR 123
6.2.4 Estimation of the short run parameters of the
conditional VEC model 128
6.2.5 Analysis of stability of the cointegrated System 129
6.2.6 Impulse response analysis in cointegrating VARs 132
viii
I
6.3 The cointegrated VAR model with 7(1)
exogenous variables 135
6.4 Small sample properties of test statistics 140
6.5 Empirical distribution of impulse response functions and
persistence profiles 141
7 Probability forecasting: Concepts and analysis 145
7.1 Probability forecasting 145
7.1.1 Probability forecasts in a simple univariate AR(1)
model 147
7.2 Modelling forecast uncertainties 153
7.2.1 Future and parameter uncertainties 153
7.2.2 Model uncertainty: Combining probability forecasts 157
7.2.3 Bayesian model averaging 158
7.2.4 Pooling of forecasts 159
7.3 Computation of probability forecasts: Some practical
issues 161
7.3.1 Computation of probability forecasts using
analytic methods 163
7.3.2 Computation of probability forecasts based on
VAR modeis by stochastic Simulation 164
7.3.3 Generating simulated errors 166
7.4 Estimation and forecasting with conditional modeis 168
8 The UK macroeconomy 171
8.1 Domestic and foreign Output 173
8.2 Domestic and foreign prices 178
8.3 Exchange rates 187
8.4 Domestic and foreign interest rates 189
8.5 Real money balances relative to income 193
9 A long run structural model of the UK 197
9.1 The different stages of estimation and testing 198
9.2 Unit root properties of the core variables 200
9.3 Testing and estimating of the long run relations 204
9.3.1 Small sample properties of the tests of restrictions
on the cointegrating vectors 208
9.4 The vector error correction model 209
9.4.1 The long run estimates 209
9.4.2 Error correction specifications 212
ix
9.4.3 Comparing the core model with benchmark
univariate models 218
9.5 An alternative model specification 221
10 Impulse response and trend/cycle properties of the UK model 225
10.1 Identification of monetary policy shocks 227
10.2 Estimates of impulse response functions 231
10.2.1 Effects of an oil price shock 232
10.2.2 Effects of a foreign Output equation shock 236
10.2.3 Effects of a foreign interest rate equation shock 239
10.2.4 Effects of a monetary policy shock 242
10.3 Trend/cycle decomposition in cointegrating VARs 248
10.3.1 Relationship of GRW and BN decompositions 250
10.3.2 Computation of the GRW decomposition 252
10.3.3 An application to the UK model 254
10.4 Concluding remarks 260
11 Probability event forecasting with the UK model 263
11.1 An updated Version of the core model 264
11.1.1 Estimation results and in sample diagnostics 265
11.1.2 Model uncertainty 266
11.1.3 Evaluation and comparisons of probability
forecasts 269
11.2 Probability forecasts of inflation and Output growth 274
11.2.1 Point and interval forecasts 275
11.2.2 Predictive distribution functions 278
11.2.3 Event probability forecasts 280
11.3 A postscript 286
11.4 Concluding remarks 286
12 Global modelling and other applications 289
12.1 Recent applications of the structural cointegrating VAR
approach 289
12.2 Regional interdependencies and credit risk modelling 292
12.3 A monthly Version of the core model 297
12.4 Probability forecasting and measuring financial distress
in the UK 303
12.4.1 A satellite model of the UK financial sector 303
12.4.2 UK financial distress in the early 1990s and
early 2000s 305
12.5 Directions for future research 306
x
13 Concluding remarks 309
Appendices
A Derivation of the interest rate rule 315
A.l The relationship between policy instruments and targets 316
A.2 Deriving the monetary authority's reaction function 318
A.3 Inflation targeting and the base rate reaction function 319
A.4 Reaction functions and targeting future values of variables 320
B Invariance properties of the impulse responses with respect to
monetary policy shocks 323
C Data for the UK model 327
C.l Defmitions and sources of the core model variables 327
D Garns programs and result files 333
D.l General comments on the Gauss programs 334
D.2 Impulse response and persistence profile programs 334
D.3 Programs for Computing probability forecasts 337
D.3.1 Programs for Computing out of sample
probability event forecasts 338
D.3.2 Programs for Computing in sample probability
event forecast evaluation 339
D.4 Program for Computing the decomposition of trends in
cointegrating VARs 342
Bibliography 343
Index 363
xi
List of tables
8.1 Historical unconditional probabilities for output growth (4 quarter 178
moving average).
8.2 Historical unconditional probabilities for Inflation (4 quarter 182
moving average).
9.1a Augmented Dickey Fuller unit root tests applied to variables in the 201
core model, 1965ql 1999q4.
9.1b Phillips and Perron unit root tests applied to variables in the core 202
model, 1965ql 1999q4.
9.2 Akaike and Schwarz Information Criteria for lag Order selection. 204
9.3 Cointegration rank test statistics for the core model, 205
(Pt ptt,et,rt,r*t,yt,y*t,ht yt,N tlfi)
9.4 Reduced form error correction specification for the core model. 213
9.5 Model selection criteria for the core model and alternative time 220
series specifications.
11.1 Error correction specification for the over identified model, 267
1985ql 2001ql.
11.2 Forecast evaluation of the benchmark model. 270
11.3 Diagnostic statistics for the evaluation of benchmark and average 271
model probability forecasts.
11.4a Point and interval forecasts of inflation and output growth (four 276
quarterly moving averages, per cent, per annum).
11.4b Point and interval forecasts of inflation and output growth (quarter 276
on quarter changes, per cent, per annum).
11.5a Probability forecasts of Single events involving inflation. 283
11.5b Probability forecasts of events involving output growth and 283
inflation.
12.1 Reduced form error correction equations of the monthly model. 300
12.2 Probability forecasts involving credit income disequilibria and low 306
growth 1990q2 1992ql and 2001q2 2003ql
xii
List of figures
8.1a UK output, yt. 173
8.1b First difference of UK Output, Ayt. 174
8.1c Foreign Output, y*. 174
8.1d First difference of foreign output, Ay*. 175
8.1e UK and foreign Output, yt and y^. 176
8.1 f Difference of UK and foreign output, yt y* 176
8.2a UK producer prices, pt. 179
8.2b First difference of UK producer prices, Apt. 179
8.2c UK retail prices, pt. 180
8.2d First difference of UK retail prices, Apt. 180
8.2e Second difference of UK producer prices, A2pt 182
8.2f Second difference of UK retail prices, A2pt. 183
8.3a Foreign producer prices, p\. 184
8.3b First difference of foreign producer prices, Ap*t. 184
8.3c Relative prices, pt p\. 185
8.3d First difference of relative prices, A(pt p*t). 185
8.4a Oil price, p°. 186
8.4b First difference of the oil price, Ap°t. l86
8.5a Effective exchange rate, et. l87
8.5b First difference of the effective exchange rate, Aet. 188
8.6a UK interest rates, rt. i89
8.6b First difference of UK interest rates, Art. 190
8.6c Foreign interest rates, rf. 190
8.6d First difference of foreign interest rates, At*. 191
8.6e UK and foreign interest rates, rt and i*t. 191
8.6f Difference of UK and foreign interest rates, rt r?. 192
8.7a Money income ratio, ht yt 194
8.7b First difference of the money income ratio, A(ht yt). 194
xiii
9.1 Asymptotic and empirical distribution generated by the simulated 209
annealing algorithm of the test of the long run over identifying
restrictions.
9.2a Actual and fitted values for the A(pt p*) reduced form ECM 214
equation.
9.2b Actual and fitted values for the Aet reduced form ECM equation. 214
9.2c Actual and fitted values for the Art reduced form ECM equation. 215
9.2d Actual and fitted values for the Ar* reduced form ECM equation. 215
9.2e Actual and fitted values for the Ayf reduced form ECM equation. 216
9.2f Actual and fitted values for the Ay* reduced form ECM equation. 216
9.2g Actual and fitted values for the A(/if yt) reduced form ECM 217
equation.
9.2h Actual and fitted values for the A(Apt) reduced form ECM equation. 217
10.1 Persistence profiles of the long run relations of a positive unit shock 234
to the oil price.
10.2 Generalised impulse responses of a positive unit shock to the oü 235
price.
10.3 Persistence profiles of the long run relations of a positive unit shock 237
to the foreign Output equation.
10.4 Generalised impulse responses of a positive unit shock to the 238
foreign Output equation.
10.5 Persistence profiles of the long run relations of a positive unit shock 240
to the foreign interest rate equation.
10.6 Generalised impulse responses of a positive unit shock to the 241
foreign interest rate equation.
10.7 Persistence profiles of the long run relations of a positive unit shock 243
to monetary policy.
10.8 Generalised impulse responses of a positive unit shock to monetary 244
policy.
10.9 Persistence profiles of the long run relations of a positive unit shock 246
to the UK interest rate equation.
10.10 Generalised impulse responses of a positive unit shock to the UK 247
interest rate equation.
10.11 Actual UK Output (yt) and the GRW permanent component. 256
10.12 GRW transitory components of UK Output and Inflation: yt and Apt. 256
10.13 GRW and BN transitory components ofUK Output: yt. 257
10.14 GRW transitory components ofUK and foreign Output: yt and y*. 258
10.15 BN transitory components of UK and foreign Output: yt and y\. 258
10.16 Hodrick Prescott transitory components of UK and foreign Output: 259
yt anäy*t.
xiv
10.17 GRW transitory components of UK and foreign interest rates: rt 260
andr*.
10.18 Actual and the GRW permanent component of UK interest rates: rt. 260
11.1a Inflation (four quarter moving average). 277
11.1b Output growth (four quarter moving average). 278
11.2a Predictive distribution functions for inflation (benchmark model 279
with parameter uncertainty).
11.2b Predictive distribution functions for Output growth (benchmark 279
model with parameter uncertainty).
11.3 Probability estimates of inflation falling within the target ränge 281
using the benchmark model.
11.4 Probability estimates of a recession using the benchmark model. 282
11.5 Probability estimates of meeting the inflation target without a 284
recession (future and parameter uncertainty).
11.6 Probability estimates of meeting the inflation target without a 285
recession (future uncertainty only).
12.1 Impulse response of a negative one Standard error shock to US real 296
equity prices on real equity prices across regions.
12.2 Impulse response of a negative one Standard error shock to US real 297
equity prices on real Output across regions.
12.3 Monthly generalised impulse responses to a positive unit shock to 301
monetary policy.
12.4 Monthly generalised impulse responses to a positive unit shock to 302
the oil price.
xv |
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| classification_rvk | QC 300 QI 250 |
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| dewey-full | 339.01/5195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 339 - Macroeconomics and related topics |
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| dewey-search | 339.01/5195 |
| dewey-sort | 3339.01 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV021607971 |
| illustrated | Illustrated |
| index_date | 2024-07-02T14:49:35Z |
| indexdate | 2024-07-09T20:39:47Z |
| institution | BVB |
| isbn | 9780199296859 0199296855 9780199650460 |
| language | English |
| lccn | 2006010285 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014823232 |
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| physical | XV, 380 S. graph. Darst. |
| publishDate | 2006 |
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| publisher | Oxford Univ. Press |
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| spelling | Global and national macroeconometric modelling a long-run structural approach Anthony Garratt ... 1. publ. Oxford [u.a.] Oxford Univ. Press 2006 XV, 380 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Hier auch später erschienene, unveränderte Nachdrucke Ökonometrisches Modell Econometric models Wirtschaft (DE-588)4066399-1 gnd rswk-swf Dynamische Makroökonomie (DE-588)4200428-7 gnd rswk-swf Makroökonomisches Modell (DE-588)4074486-3 gnd rswk-swf Nationalmodell (DE-588)4120788-9 gnd rswk-swf Großbritannien (DE-588)4022153-2 gnd rswk-swf Großbritannien (DE-588)4022153-2 g Wirtschaft (DE-588)4066399-1 s Makroökonomisches Modell (DE-588)4074486-3 s DE-604 Dynamische Makroökonomie (DE-588)4200428-7 s DE-188 Nationalmodell (DE-588)4120788-9 s Garratt, Anthony Sonstige oth http://www.loc.gov/catdir/enhancements/fy0636/2006010285-t.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014823232&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Global and national macroeconometric modelling a long-run structural approach Ökonometrisches Modell Econometric models Wirtschaft (DE-588)4066399-1 gnd Dynamische Makroökonomie (DE-588)4200428-7 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Nationalmodell (DE-588)4120788-9 gnd |
| subject_GND | (DE-588)4066399-1 (DE-588)4200428-7 (DE-588)4074486-3 (DE-588)4120788-9 (DE-588)4022153-2 |
| title | Global and national macroeconometric modelling a long-run structural approach |
| title_auth | Global and national macroeconometric modelling a long-run structural approach |
| title_exact_search | Global and national macroeconometric modelling a long-run structural approach |
| title_exact_search_txtP | Global and national macroeconometric modelling a long-run structural approach |
| title_full | Global and national macroeconometric modelling a long-run structural approach Anthony Garratt ... |
| title_fullStr | Global and national macroeconometric modelling a long-run structural approach Anthony Garratt ... |
| title_full_unstemmed | Global and national macroeconometric modelling a long-run structural approach Anthony Garratt ... |
| title_short | Global and national macroeconometric modelling |
| title_sort | global and national macroeconometric modelling a long run structural approach |
| title_sub | a long-run structural approach |
| topic | Ökonometrisches Modell Econometric models Wirtschaft (DE-588)4066399-1 gnd Dynamische Makroökonomie (DE-588)4200428-7 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Nationalmodell (DE-588)4120788-9 gnd |
| topic_facet | Ökonometrisches Modell Econometric models Wirtschaft Dynamische Makroökonomie Makroökonomisches Modell Nationalmodell Großbritannien |
| url | http://www.loc.gov/catdir/enhancements/fy0636/2006010285-t.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014823232&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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