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Estimated general equilibrium models for the evaluation of monetary policy in the US and Europe
Leith, Campbell B.; Malley, James R. - 2002
A persistent criticism of general equilibrium models of monetary policy which incorporate nominal inertia in the form of the New Keynesian Phillips Curve (NKPC) is that they fail to capture the extent of inflation inertia in the data. In this paper we derive a general equilibrium model based on...
Persistent link: https://www.econbiz.de/10011409738
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Forecast uncertainties in macroeconometric modelling : an application to the UK economy
Pesaran, M. Hashem - 2000
This paper argues that probability forecasts convey information on the uncertainties that surround macroeconomic forecasts in a manner which is straightforward and which is preferable to other alternatives, including the use of confidence intervals. Probability forecasts relating to UK output...
Persistent link: https://www.econbiz.de/10009781626
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Supply, demand and monetary policy shocks in a multi-country New Keynesian model
Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2010
-specific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured as … restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply …. We discuss estimation of impulse response functions and variance decompositions in such large systems, and present …
Persistent link: https://www.econbiz.de/10003974674
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Counterfactual analysis in macroeconometrics : an empirical investigation into the effects of quantitative easing
Pesaran, M. Hashem; Smith, Ron - 2012
This paper is concerned with ex ante and ex post counterfactual analyses in the case of macroeconometric applications where a single unit is observed before and after a given policy intervention. It distinguishes between cases where the policy change affects the model's parameters and where it...
Persistent link: https://www.econbiz.de/10009571104
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Exploring the international linkages of the euro area : a global VAR analysis
Dées, Stéphane; Di Mauro, Filippo; Pesaran, M. Hashem; … - 2005
This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...
Persistent link: https://www.econbiz.de/10002746106
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An extended macro-finance model with financial factors
Dewachter, Hans; Iania, Leonardo - 2010
; macroeconomics and financial factors ; Bayesian estimation …
Persistent link: https://www.econbiz.de/10003937808
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Macroeconometric modelling with a global perspective
Pesaran, M. Hashem (contributor); Smith, Ron (contributor) - 2006
imposed if accepted. Alternatively, if one has less confidence in the short-run theory the dynamics can be left unrestricted … equilibrium values of the variables reflecting the long-run theory embodied in the model can be calculated. This approach has been …
Persistent link: https://www.econbiz.de/10003301036
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Theory and practice of GVAR modeling
Chudik, Alexander; Pesaran, M. Hashem - 2014
The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling,...
Persistent link: https://www.econbiz.de/10010354717
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Tests of policy ineffectiveness in macroeconometrics
Pesaran, M. Hashem; Smith, Ron - 2014
This paper proposes tests of policy ineffectiveness in the context of macroeconometric rational expectations models. It is assumed that there is a policy intervention that takes the form of changes in the parameters of a policy rule, and that there are sufficient observations before and after...
Persistent link: https://www.econbiz.de/10010375404
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Behavioral economics and macroeconomic models
Driscoll, John C.; Holden, Steinar - 2014 - This version: 7 April 2014
Over the past 20 years, macroeconomists have incorporated more and more results from behavioral economics into their models. We argue that doing so has helped fixed deficiencies with standard approaches to modeling the economy-for example, the counterfactual absence of inertia in the standard...
Persistent link: https://www.econbiz.de/10010350486