The Econometrics of Macroeconomic Modelling
The Econometrics of Macroeconomic Modelling
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宏观经济建模的计量经济学
DOI：
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发表时间：
2005
期刊：
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通讯作者：
Ragnar Nymoen
中科院分区：
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作者：
G. B̊ardsen;Øyvind Eitrheim;E. Jansen;Ragnar Nymoen
宏观计量经济学模型在20世纪60年代在许多方面都是经济学家职业的旗舰，但在20世纪70年代末受到理论经济学家和实践者越来越多的攻击。批评者指出，它们缺乏微观经济学理论基础，缺乏特定的预期模型，缺乏识别，忽视动态和非平稳性，预测性能差。到1990年代初，宏观计量经济学模型的地位明显下降，完全脱离了学术经济学。然而，与经常被比作恐龙的宏观计量经济学模型不同，它们从未完全从舞台上消失。本书描述了宏观计量经济学建模的学科如何以及为什么通过适应不断变化的需求，例如应对通货膨胀目标制等新的政策制度，继续在经济决策中发挥作用。在过去的二十年里，模型构建者从经济理论中获得了新的见解，并利用了时间序列计量经济学在方法和概念上的进步。工资和价格的建模是本书的核心部分，作者根据挪威小型开放经济体通货膨胀的“主菜”模型解释和评估了过去40年的国际研究经验。首选的模型是一个动态的不完全竞争模型，这是评估替代品的不同，如菲利普斯曲线，尼克尔-莱亚德工资曲线，新凯恩斯主义菲利普斯曲线和货币通货膨胀模型的数据来自欧元区，英国和挪威。工资价格核心模型被构建成一个小型计量经济学模型，用于挪威分析传导机制和评估货币政策规则。最后一章探讨了预测失败的主要来源可能发生在一个实际的建模情况下，使用大规模的nodel RIMINI和通货膨胀模型的前几章作为案例研究。
Macroeconometric models, in many ways the flagships of the economist's profession in the 1960s, came under increasing attack from both theoretical economist and practitioners in the late 1970s. Critics referred to their lack of microeconomic theoretical foundations, ad hoc models of expectations, lack of identification, neglect of dynamics and non-stationarity, and poor forecasting properties. By the start of the 1990s, the status of macroeconometric models had declined markedly, and had fallen completely out of, and with, academic economics. Nevertheless, unlike the dinosaurs to which they often have been likened, macroeconometric models have never completely disappeared from the scene. This book describes how and why the discipline of macroeconometric modelling continues to play a role for economic policymaking by adapting to changing demands, in response, for instance, to new policy regimes like inflation targeting. Model builders have adopted new insights from economic theory and taken advantage of the methodological and conceptual advances within time series econometrics over the last twenty years. The modelling of wages and prices takes a central part in the book as the authors interpret and evaluate the last forty years of international research experience in the light of the Norwegian 'main course' model of inflation in a small open economy. The preferred model is a dynamic model of incomplete competition, which is evaluated against alternatives as diverse as the Phillips curve, Nickell-Layard wage curves, the New Keynesian Phillips curve, and monetary inflation models on data from the Euro area, the UK, and Norway. The wage price core model is built into a small econometric model for Norway to analyse the transmission mechanism and to evaluate monetary policy rules. The final chapter explores the main sources of forecast failure likely to occur in a practical modelling situation, using the large-scale nodel RIMINI and the inflation models of earlier chapters as case studies.