A Rational Expectations Approach to Macroeconometrics

A Rational Expectations Approach to Macroeconometrics Testing Policy Ineffectiveness and Efficient-Markets Models

by Frederic S. Mishkin

University of Chicago Press, 1983
Cloth: 978-0-226-53186-1 | Paper: 978-0-226-53187-8 | Electronic: 978-0-226-53192-2
DOI: 10.7208/chicago/9780226531922.001.0001

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ABOUT THIS BOOKTABLE OF CONTENTS

ABOUT THIS BOOK

A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.

Acknowledgments

1. Introduction

Part 1 Econometric Theory and Methodology

2. The Econometric Methodology

Appendix 2.1 Identification and Testing

Appendix 2.2 An Annotated Computer Program

3. An Integrated View of Tests of Rationality, Market Efficiency, and the Short-Run Neutrality of Aggregate Demand Policy

Part 2 Empirical Studies

4. Are Market Forecasts Rational?

5. Monetary Policy and Interest Rates: An Efficient Markets–Rational Expectations Approach

Appendix 5.1 Estimates of the Forecasting Equations

Appendix 5.2 Additional Experiments Using the Two-step Procedure

6. Does Anticipated Aggregate Demand Policy Matter?

Appendix 6.1 Output and Unemployment Models with Barro and Rush Specification

Appendix 6.2 Results with Nominal GNP Growth and Inflation as the Aggregate Demand Variable

Appendix 6.3 Results Not Using Polynominal Distributed Lags

Appendix 6.4 Jointly Estimated Forecasting Equations

7. Concluding Remarks

References

Index