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Creator: Sargent, Thomas J. and Wallace, Neil Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 025 关键词: Money supply, Interest rates, Macroeconomic models, and Rational expectations 学科: E51  Money Supply; Credit; Money Multipliers and C02  Mathematical Methods 
Creator: Anderson, Paul A. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 061 Abstract: This paper puts forward a method for simulating an existing macroeconometric model while maintaining the additional assumption that individuals form their expectations rationally. This simulation technique is a first response to Lucas' criticism that standard econometric policy evaluation allows policy rules to change but doesn't allow expectations rules to change as economic theory predicts they will. The technique is applied to a version of the St. Louis Federal Reserve Model with interesting results. The rational expectations version of the St. Louis Model exhibits the same neutrality with respect to certain policy rules as small, analytic rational expectations models considered by Lucas, Sargent, and Wallace.
关键词: Rational expectations theory, Forecasting, and Simulation 学科: C53  Forecasting Models; Simulation Methods 

Creator: Todd, Richard M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 407 Abstract: Doan, Litterman, and Sims have described a method for estimating Bayesian vector autoregressive (BVAR) forecasting models. The method has been successfully applied to the U.S. macroeconomic dataset, which is relatively long and stable. Despite the brevity and volatility of the post1976 Chilean macroeconomic dataset, this paper shows that a straightforward application of the DLS method to this dataset, with simple modifications to allow for delays in the release of data, also appears to satisfy at least one criterion of relative forecasting accuracy suggested by Doan, Litterman, and Sims. However, the forecast errors of the Chilean BVARs are still large in absolute terms.Also, the model's coefficients change sharply in periods marked by policy shifts, such as the floating of the peso in 1982.
关键词: Bayesian autoregressive vector forecasting models and Chile 学科: O54  Economywide Country Studies: Latin America; Caribbean 
Creator: Smith, Bruce D. (Bruce David), 19542002 Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 232 Abstract: A model of a "real" business cycle is produced in which labor market participants possess private information. A class of economies is considered in which interesting cycles cannot arise without private information. A methodology adapted from Kydland and Prescott (1982) is then employed to show that models based on private information can empirically confront salient features of postwar U.S. business cycles. Moreover, this can be done in a way which is consistent with existing microeconomic evidence on wages and labor supply. Finally, it is shown that the important features of the model related to private information are fairly general.
关键词: Assymetric information, Labor markets, Labor contracts, and Unemployment 学科: D82  Asymmetric and Private Information; Mechanism Design and E32  Business Fluctuations; Cycles 
Creator: Sargent, Thomas J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 022 Abstract: A statistical definition of the natural unemployment rate hypothesis is advanced and tested. A particular illustrative structural macroeconomic model satisfying the definition is set forth and estimated. The model has "classical" policy implications, implying a number of neutrality propositions asserting the invariance of the conditional means of real variables with respect to the feedback rule for the money supply. The aim is to test how emphatically the data reject a model incorporating rather severe "classical" hypotheses.
关键词: Rational expectations theory, Montarist model, Natural unemployment rate, Post1945, and Postwar United States 学科: E24  Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity and E17  General Aggregative Models: Forecasting and Simulation: Models and Applications 
Creator: Danforth, John P. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 072 关键词: Consumption, Gasoline, and Taxation 学科: Q58  Environmental Economics: Government Policy and Q48  Energy: Government Policy 


Creator: Bryant, John B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 146 Abstract: The determination of the mechanism for ordering strategies in a game theoretic conflict is the keystone of economic science, at least insofar as economics is to remain an outgrowth of that (otherwise relatively minor) school of English philosophy, Utilitarianism. A method for the solution of the general game is presented in this paper, and the implications for economic theorizing discussed.
关键词: Multiple equilibria, Political economy, MinimaxNash, Economic theory, and Games 学科: C72  Noncooperative Games and D50  General Equilibrium and Disequilibrium: General 
Creator: Bryant, John B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 175 Abstract: Game theory is both at the heart of economics and without a definitive solution. This paper proposes a solution. It is argued that a dominance criterion generates a, and perhaps the, generalized equilibrium solution for game theory. First we provide a set theoretic perspective from which to view game theory, and then present and discuss the proposed solution.
关键词: Nash equilbrium, Dominance, and Equilibria 学科: C72  Noncooperative Games, C68  Computable General Equilibrium Models, and C70  Game Theory and Bargaining Theory: General 
Creator: Kollintzas, Tryphon, 1953 Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 352 Abstract: 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 covariancestationary 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.
关键词: Overlapping generations models, Inventory, and Macroeconomics 学科: C52  Model Evaluation, Validation, and Selection and E22  Investment; Capital; Intangible Capital; Capacity 
Creator: Uhlig, Harald, 1961 Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 342 Abstract: [Please note that the following Greek lettering is improperly transcribed.] If [0,1] is a measure space of agents and X a collection of pairwise uncorrelated random variables with common finite mean U and variance a , one would like to establish a law of large numbers () Xdl = U. In this paper we propose to interpret () as a Pettis integral. Using the corresponding Riemanntype version of this integral, we establish (*) and interpret it as an L2law of large numbers. Intuitively, the main idea is to integrate before drawing an W, thus avoiding wellknow measurability problems. We discuss distributional properties of i.i.d. random shocks across the population. We given examples for the economic interpretability of our definition. Finally, we establish a vectorvalued version of the law of large numbers for economies.
关键词: Khinchines law of large numbers, Pettis integral, L2 law of large numbers, Riemann integral, Large numbers, and Random variable 学科: C10  Econometric and Statistical Methods and Methodology: General 
Creator: Uhlig, Harald, 1961 Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 342 Abstract: [Please note that the following Greek lettering is improperly transcribed.] If [0,1] is a measure space of agents and X a collection of pairwise uncorrelated random variables with common finite mean U and variance a , one would like to establish a law of large numbers () Xdl = U. In this paper we propose to interpret () as a Pettis integral. Using the corresponding Riemanntype version of this integral, we establish (*) and interpret it as an L2law of large numbers. Intuitively, the main idea is to integrate before drawing an W, thus avoiding wellknow measurability problems. We discuss distributional properties of i.i.d. random shocks across the population. We given examples for the economic interpretability of our definition. Finally, we establish a vectorvalued version of the law of large numbers for economies.
关键词: Khinchines law of large numbers, Pettis integral, L2 law of large numbers, Riemann integral, Large numbers, and Random variable 学科: C10  Econometric and Statistical Methods and Methodology: General 
Creator: Smith, Bruce D. (Bruce David), 19542002 Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 240 Abstract: A model of a labor market is developed in which agents possess private information about their marginal products. As a result, involuntary unemployment may arise as a consequence of attempts by firms to create appropriate selfselection incentives. Moreover, employment lotteries may arise for the same reason despite the fact that, in equilibrium, there is no uncertainty in the model. When employment is random, this is both privately and socially desirable. Finally, it is shown that the unemployment that arises is consistent with (a) procyclical aggregate real wages and productivity, (b) employment that fluctuates (at individual and aggregate levels) much more than real wages.
关键词: Wages, Employment, Private information, and Labor market 学科: E24  Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity, E12  General Aggregative Models: Keynes; Keynesian; PostKeynesian, and D82  Asymmetric and Private Information; Mechanism Design 


Creator: Bryant, John B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 136 关键词: Equilibrium strategy, Long term contracts, Enduring contracts, and Supergame 学科: C70  Game Theory and Bargaining Theory: General and J41  Labor Contracts 

Creator: Bryant, John B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 126 Abstract: A model is presented in which demand deposits backed by fractional currency reserves and public insurance can be beneficial. The model uses Samuelson's pure consumptionloans model. The case for demand deposits, reserves, and deposit insurance rests on costs of illiquidity and incomplete information. The effect of deposit insurance depends upon how, and at what cost, the government meets its insurer's obligationsomething which is not specified in practice. It remains possible that demand deposits and deposit insurance are a distortion, and reserve requirements serve only to limit the size of this distortion.
关键词: Bank panic, Reserve requirements, Insolvency, Banks, and Bond reserve 学科: G21  Banks; Depository Institutions; Micro Finance Institutions; Mortgages and E58  Central Banks and Their Policies