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- Kehoe, Patrick J.
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- Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
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- 373
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- This paper presents a simple counterexample to the belief that policy cooperation among benevolent governments is desirable. It also explains circumstances under which such counterexamples are possible and relates them to the literature on time inconsistency.
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Versions of this report were published under the titles “International Policy Cooperation May Be Undesirable” and “Policy Cooperation Among Benevolent Governments May Be Undesirable.”
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- Policy coordination, Cooperation, Macroeconomics, and Policy games
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- F11 - Trade - Neoclassical models of trade, F33 - International finance - International monetary arrangements and institutions, and D46 - Market structure and pricing - Value theory
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- Kehoe, Patrick J.
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- Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
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- 373
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- This paper presents a simple counterexample to the belief that policy cooperation among benevolent governments is desirable. It also explains circumstances under which such counterexamples are possible and relates them to the literature on time inconsistency.
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Versions of this report were published under the titles “International Policy Cooperation May Be Undesirable” and “Policy Cooperation Among Benevolent Governments May Be Undesirable.”
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- Policy coordination, Cooperation, Macroeconomics, and Policy games
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- F11 - Trade - Neoclassical models of trade, F33 - International finance - International monetary arrangements and institutions, and D46 - Market structure and pricing - Value theory
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- Chari, V. V., Kehoe, Patrick J., and Prescott, Edward C.
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- Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
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- 365
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- Choice, Monetary policy, Economic policy, Macroeconomics, and Decision making
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- D99 - Intertemporal choice and growth - Other, E61 - Macroeconomic policy, macroeconomic aspects of public finance, and general outlook - Policy objectives ; Policy designs and consistency ; Policy coordination, and D81 - Information, knowledge, and uncertainty - Criteria for decision-making under risk and uncertainty
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- Kollintzas, Tryphon, 1953-
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- Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
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- 352
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- This paper derives a variance bounds test for a broad class of linear rational expectations models. According to this test if observed data accords with the model, then a weighted sum of autocovariances of the covariance-stationary components of the endogenous state variables should be nonnegative. The new test reinterprets its forefather—West's [1986] variance bounds test— and extends its applicability by not requiring exogenous state variables in order to be tested. The possibility of the test's application to nonlinear models is also discussed.
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- Overlapping generations models, Inventory, and Macroeconomics
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- E22 - Macroeconomics : Consumption, saving, production, employment, and investment - Capital ; Investment ; Capacity and C52 - Econometric modeling - Model evaluation and selection
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- Doan, Thomas., Litterman, Robert B., and Sims, Christopher A.
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- Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
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- 243
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- This paper develops a forecasting procedure based on a Bayesian method for estimating vector autoregressions. The procedure is applied to ten macroeconomic variables and is shown to improve out-of-sample forecasts relative to univariate equations. Although cross-variables responses are damped by the prior, considerable interaction among the variables is shown to be captured by the estimates. We provide unconditional forecasts as of 1982:12 and 1963:3* We also describe how a model such as this can be used to make conditional projections and to analyse policy alternatives. As an example, we analyze a Congressional Budget Office forecast made in 1982:12. While no automatic causal interpretations arise from models like ours, they provide a detailed characterization of the dynamic statistical interdependence of a set of economic variables, which may help in evaluating causal hypotheses, without containing any such hypotheses themselves.
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- Bayesian methods, Forecasting, and Macroeconomics
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- C11 - Econometric and statistical methods : General - Bayesian analysis and E27 - Macroeconomics : Consumption, saving, production, employment, and investment - Forecasting and simulation
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- Sargent, Thomas J.
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- Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
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- 64
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- Macroeconomics
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- E00 - Macroeconomics and monetary economics - General - General
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- Skoog, Gary R.
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- Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
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- 86
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- Econometrics , Macroeconometric models, and Macroeconomics
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- C50 - Econometric modeling - General
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- Aiyagari, S. Rao.
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- Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
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- 518
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- This paper is about a useful way of taking account of frictions in asset pricing and macroeconomics. I start by noting that complete frictionless markets models have a number of empirical deficiencies. Then I suggest an alternative class of models with incomplete markets and heterogenous agents which can also accommodate a variety of other frictions. These models are quantitatively attractive and computationally feasible and have the potential to overcome many or all of the empirical deficiencies of complete frictionless markets models. The incomplete markets model can also differ significantly from the complete frictionless markets model on some important policy questions.
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- Friction, Frictionless market model, Asset pricing, Macroeconomics, and Incomplete markets
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- E13 - General aggregative models - Neoclassical and G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates
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- Sargent, Thomas J.
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- New methods in business cycle research
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- Time series, Causality, and Macroeconomics
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- C52 - Econometric modeling - Model evaluation and selection
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- King, Robert G. (Robert Graham), Wallace, Neil., and Weber, Warren E.
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- Working paper (Federal Reserve Bank of Minneapolis. Research Dept.)
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- 307
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- This paper shows that there can be equilibria in which exchange rates display randomness unrelated to fundamentals. This is demonstrated in the context of a two currency, one good model, with three agent types and cash-in-advance constraints. A crucial feature is that the type i agents, for i=l, 2, must satisfy a cash—in-advance constraint by holding currency i, while type 3 agents can satisfy it by holding either currency. It is shown that real allocations vary across the multiple equilibria if markets for hedging exchange risk do not exist and that the randomness is innocuous if complete markets exist.
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- Foreign exchange rates, Macroeconomics, and Currencies
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- E00 - Macroeconomics and monetary economics - General - General and F31 - International finance - Foreign exchange