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The Econometrics of Macroeconomic Modelling
Gunnar Bårdsen, Øyvind Eitrheim, Eilev S. Jansen, and Ragnar Nymoen
364 pages
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234x156mm
978-0-19-924650-2
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Paperback
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14 April 2005
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This item is printed to order. Items which are printed to order are normally despatched and charged within 5-10 days.
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- Provides readers with experience in practical, real-world macroeconomic modelling.
- Covers the last 40 years' of international research explaining inflation in a small open economy.
- Comprehensive, covering inflation modelling, inflation targeting, monetary policy rules, and forecasting in one book.
- Emphasizes that inflation is a many-faceted phenomenon, not one that can be explained by one or two explanatory variables.
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.Readership: Students and
researchers in econometrics and advanced macroeconomics. Practitioners making forecasts and using models for policy analysis in governmental agencies and in central banks.
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Gunnar Bårdsen, Central Bank of Norway and Norwegian University of Science and Technology, Trondheim, Øyvind Eitrheim, Central Bank of Norway, Eilev S. Jansen, Central Bank of Norway and Norwegian University of Science and Technology, Trondheim, and Ragnar Nymoen, University of Oslo
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""...strongly recommended to anyone interested in applied macroeconomics...definitively deserves to be one of the tools in the toolbox."" - Jesper Linde, Scandinavian Journal of Economics 2005 "The book is definitely worth not only buying but also reading...The book successfully bridges the gapbetween economic theory and relevant econometric applications." - Costas Milas, International Journal of Forecasting. "This book gives an excellent insight into the process of forming a high-quality, real-world macro-model then evaluating and using it. This is an important topic and makes this an important book." - Clive W.J. Granger, Nobel Laureate
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1: Introduction
2: Methodological issues of large scale macromodels
3: The Norwegian main-course model
4: The Phillips curve
5: Wage bargaining and price setting
6: Wage-price dynamics
7: The New Keynesian Phillips Curve
8: Money and inflation
9: Transmission channels and model properties
10: Evaluation of monetary policy rules
11: Forecasting using econometric models
12: Appendices
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The specification in this catalogue, including without limitation price, format, extent, number of illustrations, and month of publication, was as accurate as possible at the time the catalogue was compiled. Occasionally, due to the nature of some contractual restrictions, we are unable to ship a specific product to a particular territory. Jacket images are provisional and liable to change before publication.
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