Challenges for Macroeconomic Modelling (eBook)

Front Cover 1
Challenges for Macroeconomic Modelling 4
Copyright Page 5
Table of Contents 12
Introduction to the series 6
EDITORS' INTRODUCTION 8
CHAPTER 1. 
14 
CHAPTER 2. 
20 
FOOTNOTES 51
CHAPTER 3. 
52 
1. INTRODUCTION 52
2. THE 1936 TINBERGEN MODEL 54
3. MODELLING AT THE CENTRAAL PLANBUREAU: THE EARLY YEARS 68
4. MODELLING AT THE CENTRAAL PLANBUREAU, THE LATER YEARS 81
5. MODELLING AT OTHER INSTITUTIONS 89
6. CONCLUDING REMARKS 94
ACKNOWLEDGEMENTS 96
REFERENCES 96
CHAPTER 4. 
102 
CHAPTER 5. 
106 
FOOTNOTES 111
CHAPTER 6. 
112 
1. INTRODUCTION 112
2. THE CASE FOR MACROECONOMIC MODELLING IN THE PREPARATION OF ECONOMIC POLICY 115
3. A BRIEF SURVEY OF THE INTERACTION BETWEEN MACROECONOMETRIC MODELLING AND ECONOMIC POLICY IN THE NETHERLANDS 136
4. CONCLUSIONS 144
ACKNOWLEDGEMENTS 145
REFERENCES 145
CHAPTER 7. 
150 
1. INTRODUCTION 150
2. PITFALLS IN MACROECONOMETRIC MODELLING 150
3. EARLY DUTCH SUPPLY-SIDE ECONOMICS 156
4. CAN THERE BE DUTCH MONETARY POLICY? 156
5. CONCLUSION 157
CHAPTER 8. 
160 
CHAPTER 9. 
164 
1. INTRODUCTION 164
2. PRESENTATION OF THE ESTIMATED EQUATIONS 167
3. PRESENTATION OF SIMULATION RESULTS 201
4. CONCLUSIONS 207
ACKNOWLEDGEMENTS 212
FOOTNOTES 213
REFERENCES 213
CHAPTER 10. 
220 
1. INTRODUCTION 220
2. THE CLAY-CLAY MODEL 221
3. THE INTERDEPENDENCE BETWEEN PRODUCTIVITY AND REAL WAGES 221
4. FISCAL POLICY AND INFLATION 223
5. THE J-CURVE 224
6. THE EFFECT OF AN INTEREST RATE INCREASE: RECESSION AND INFLATION 225
7. INTEGRATING DISEQUILIBRIA 226
FOOTNOTES 227
REFERENCES 227
CHAPTER 11. 
228 
FOOTNOTES 232
REFERENCES 232
CHAPTER 12. A SURVEY OF NON-DUTCH EUROPEAN MACROECONOMETRIC MODELS: 
234 
1. INTRODUCTION 234
2. AN OVERVIEW: EUROPEAN MODELS IN PROJECT LINK AND IN THE UEBE, HUBER, AND FISCHER SURVEY 1) 235
3. FIRST CASE STUDY: MACROECONOMETRIC MODELLING IN THE UNITED KINGDOM IN THE EARLY 1980s 9) 239
4. SECOND CASE STUDY: THE CREA MODEL OF THE SWISS ECONOMY 23) 245
5. NINE TRENDS IN THE EVOLUTION OF MACROECONOMETRIC MODELS, OVER THE PAST 
249 
6. CONCLUDING REMARKS 254
ACKNOWLEDGEMENTS 255
FOOTNOTES 256
REFERENCES 261
CHAPTER 13. SURVEY OF NON-DUTCH EUROPEAN MACROECONOMETRIC MODELS: 
264 
1. INTRODUCTION 264
2. COMMENTS ON MACROECONOMETRIC MODELLING IN THE UNITED KINGDOM IN THE 
264 
2. DEVELOPMENTS IN MACROECONOMETRIC MODELLING IN THE UNITED KINGDOM IN 
265 
3. GLASNOST 269
REFERENCES 270
CHAPTER 14. A SURVEY OF NON-DUTCH EUROPEAN MACROECONOMETRIC MODELS: 
272 
Firstly 273
Secondly 273
Thirdly 273
Lastly 274
RECENT DEVELOPMENTS IN INTERNATIONAL MODELLING 274
CHAPTER 15. 
278 
1. INTRODUCTION 278
2. THE PROBLEM 279
3. THE MODEL 281
4. OPTIMIZATION 284
5. THE BALANCED GROWTH AREA 288
FOOTNOTES 294
REFERENCES 294
CHAPTER 16. 
296 
CHAPTER 17. 
300 
CHAPTER 18. MACROECONOMIC MODELS AND MICROECONOMIC THEORY 
304 
1. INTRODUCTION 304
2. THE STRUCTURE OF AGE MODELS 305
3. TWO RESEARCH TRENDS 308
4. DYNAMICS: INTRODUCTORY REMARKS 315
5. DYNAMICS: TWO FEASIBLE APPROACHES 320
6. CONCLUSIONS 338
FOOTNOTES 340
REFERENCES 342
CHAPTER 19. 
350 
REFERENCES 355
CHAPTER 20. 
356 
1. INTRODUCTION 356
2. THE DIVERSITY OF MACROECONOMETRIC MODELS 357
3. SOME BASIC ECONOMETRIC ISSUES 361
4. THE ROLE OF ECONOMIC THEORY 365
5. DATA PROBLEMS 367
6. DATA TRANSFORMATIONS 369
7. ESTIMATION METHODS 373
8. MODEL SELECTION 375
9. MODEL EVALUATION 379
10. MODEL COMPARISON 383
11. SOME BRIEF COMPLEMENTS 384
12. CONCLUSIONS 387
ACKNOWLEDGEMENTS 388
FOOTNOTES 389
REFERENCES 391
CHAPTER 21. 
402 
1. INTRODUCTION 402
2. STYLES OF MACROECONOMIC MODELLING 404
3. BASIC ISSUES IN ECONOMETRICS 406
4. ECONOMIC THEORY 407
5. DATA PROBLEMS AND DATA TRANSFORMATIONS 408
6. MODEL ESTIMATION, SELECTION, EVALUATION AND COMPARISON 408
7. SOME CONCLUDING REMARKS 409
REFERENCES 410
CHAPTER 22. 
412 
1. INTRODUCTION 412
2. SOME BASIC ECONOMETRIC ISSUES 412
3. THE ROLE OF ECONOMIC THEORY 414
4. DATA PROBLEMS AND DATA TRANSFORMATIONS 414
5. MODEL SELECTION AND MODEL EVALUATION 415
6. MACROECONOMETRIC MODELLING: A DIFFERENT PERSPECTIVE 415
REFERENCES 417
CHAPTER 23. 
418 
1. INTRODUCTION 418
2. THE MODEL IN OUTLINE 418
3. THE MARKET FOR GOODS 424
4. THE LABOUR MARKET 427
5. THE FINANCIAL SECTOR 429
6. THE DESCRIPTIVE POWER OF THE MODEL 436
7. THE WORKING OF THE MODEL 440
REFERENCES 444
CHAPTER 24. 
446 
1. INTRODUCTION 446
2. GENERAL OUTLINE OF SECMON–D 448
3. THE MODELLING OF THE GOODS MARKET 453
4. THE MODELLING OF THE LABOUR MARKET 456
5. THE MODELLING OF THE MONETARY SECTOR 458
6. PREDICTIVE POWER 458
7. SIMULATION EXPERIMENTS 459
REFERENCES 465
ANNEX 466
CHAPTER 25. 
470 
1. INTRODUCTION 470
2. FREIA-KOMPAS IN A NUTSHELL 472
3. THE MARKET SECTOR FOR GOODS AND SERVICES 472
4. THE LABOUR MARKET 480
5. THE PUBLIC SECTOR 481
6. THE FINANCIAL SECTOR 482
7. DESCRIPTIVE POWER 486
8. SIMULATION PROPERTIES 486
SUMMARY 492
FOOTNOTES 493
REFERENCES 493
NAME-INDEX 496