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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 Dept.) Number: 61 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  Econometric modeling  Forecasting and other model applications 


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: Chile and Bayesian autoregressive vector forecasting models 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: Labor contracts, Unemployment, Assymetric information, and Labor markets 学科: E32  Business Fluctuations; Cycles and D82  Asymmetric and Private Information; Mechanism Design 
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: Postwar United States, Rational expectations theory, Natural unemployment rate, Post1945, and Montarist model 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: Bergoeing,Raphael, Kehoe, Patrick J., Kehoe, Timothy J., and Soto, Raimundo 描述: Data supporting the chapter "A Decade Lost and Found: Mexico and Chile in the 1980s."

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: Political economy, Multiple equilibria, Games, MinimaxNash, and Economic theory 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: C68  Computable General Equilibrium Models, C72  Noncooperative Games, 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: Inventory, Overlapping generations models, and Macroeconomics 学科: E22  Investment; Capital; Intangible Capital; Capacity and C52  Model Evaluation, Validation, and Selection 
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: Random variable, Khinchines law of large numbers, Pettis integral, L2 law of large numbers, Riemann integral, and Large numbers 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: Random variable, Khinchines law of large numbers, Pettis integral, L2 law of large numbers, Riemann integral, and Large numbers 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: Labor market, Private information, Wages, and Employment 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: Supergame, Equilibrium strategy, Long term contracts, and Enduring contracts 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: Banks, Bond reserve, Bank panic, Insolvency, and Reserve requirements 学科: E58  Central Banks and Their Policies and G21  Banks; Depository Institutions; Micro Finance Institutions; Mortgages 
Creator: Smith, Bruce D. (Bruce David), 19542002 Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 230 Abstract: An overlapping generations model is developed that contains labor markets in which adverse selection problems arise. As a response to these problems, quantity rationing of labor occurs. In addition, the model is capable of generating (a) random employment and prices despite the absence of underlying uncertainty in equilibrium; (b) a statistical (nondegenerate) Phillips curve; (c) procyclical movements in productivity; (d) correlations between aggregate demand and unemployment (and output); (e) an absence of correlation between unemployment (employment) and real wages. In addition, the Phillips curve obtained typically has the "correct" slope. Finally, the model reconciles the theoretical importance and observed unimportance of intertemporal substitution effects, and explains why price level stability may be a poor policy objective.
关键词: Prices, Labor, Money, Philips curve, Unemployment, and Productivity 学科: E24  Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity, E32  Business Fluctuations; Cycles, and E12  General Aggregative Models: Keynes; Keynesian; PostKeynesian 
Creator: Wallace, Neil Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 131 关键词: Fiat money, Irrelevance proposition, Modigliani, Miller, and Open market operations 学科: E44  Financial Markets and the Macroeconomy and E52  Monetary Policy 

Creator: Bryant, John B. and Wallace, Neil Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 189 关键词: Rate of return dominance, Private currency, Government debt, and Prohibition 学科: E40  Money and Interest Rates: General and E52  Monetary Policy 
Creator: Roberds, William Series: Business analysis committee meeting Abstract: One of the more significant developments in econometric modeling over the past decade has been the invention of the forecasting technique known as Bayesian vector autoregression (BVAR). This paper provides a detailed description of the process of specifying a BVAR model of quarterly time series on the U.S. macroeconomy. The postsample forecasting performance of the model is evaluated at an informal level by comparing the model's performance to certain naive forecasting methods, and is evaluated at a formal level by means of efficiency tests. Although the null hypothesis of efficiency is rejected for the model's forecasts, the accuracy of the model exceeds that of naive forecasting methods, and seems comparable to that of commercial forecasting firms for early quarter forecasts.
关键词: BVAR, Vector autoregression, and Bayesian analysis 学科: C11  Bayesian Analysis: General and C53  Forecasting Models; Simulation Methods 

Creator: Eichenbaum, Martin S. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 148 Abstract: A critical roadblock to modelling inventories of finished goods has been the claim that production and inventory decisions of a perfectly competitive firm are determined independently of each other. A basic goal of this study is to specify fundamental preferences of economic agents, technologies, constraints and market structures that are, in a rough way, capable of generating patterns of serial correlation and cross correlation between inventories and employment of factors of production that are consistent with those observed in the data. The claim is made that the time series for inventories, output and employment can be interpreted as emerging from a well specified dynamic, stochastic competitive equilibrium in which economic agents are assumed to form rational expectations about variables not included in their information sets. Inventories and employment will not be related in a direct way if and only if the price elasticity of demand for output is equal to infinity.
关键词: Time series analysis and Competitive equilibrium 学科: C32  Multiple or Simultaneous Equation Models: TimeSeries Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models and D51  Exchange and Production Economies 


Creator: Chari, V. V. and Jones, Larry E. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 324 Abstract: This paper examines the validity of one very special version of Coase's Theorem. The version we examine is that in any economy in which the property rights are fully allocated, competition will lead to efficient allocations. One repercussion of this result is that one way to "solve" the public goods problem would be to allocate property rights fully, transforming the economy to a private goods one and let markets do their work. This is particularly appealing due to its decentralized nature, but one must question the claim that the market will lead to efficient outcomes in this case. That is, the privatized economy created above is of a very special type which, as it turns out is highly susceptible to strategic behavior. We show that the "mechanism" suggested above is not likely to work well in economies with either pure public goods or "global" externalities. Basically, the freerider problem manifests itself as one of monopoly power in this private goods setting. On the other hand, if the public goods or externalities are "local" in nature, there is reason to hope that this (and perhaps other) mechanism(s) will work well. The work is related to the recent literature on the foundations of Walrasian Equilibrium in that it points up a relationship between the appropriateness of Walrasian equilibrium as a solution concept, the incentives for strategic play, the aggregate level of complementarities in the economy and the problem of coordinating economic activity.
关键词: Property rights, Coordinating economic activity, Walrasian Equilibrium, Coase's Theorem, and Competition 学科: H41  Public Goods 

Creator: Cole, Harold L. and Ohanian, Lee E. 描述: Data supporting the chapter "A Second Look at the U.S. Great Depression from a Neoclassical Perspective."



Creator: Litterman, Robert B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 287 关键词: Bayesian VAR, BVAR, Forecast, Bayesian vector autoregression, and Statistics 学科: C53  Forecasting Models; Simulation Methods 
Creator: Wallace, Neil Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 347 描述: The Harry G. Johnson Lecture, presented at the 1987 A.U.T.E. and the Royal Economic Society Conference, Aberyswyth, April 14.
关键词: Monetary theory, Equilibrium model, Outside money, Currency, Assets, and Inside money 学科: G12  Asset Pricing; Trading Volume; Bond Interest Rates and E40  Money and Interest Rates: General 

Creator: Pahl, Cynthia Series: Community Affairs Report (Federal Reserve Bank of Minneapolis) Number: 20072 关键词: Licensing, Mortgage lending, State level data , Regulation, and Mortgage broker 
Creator: Richard, Jean François. and Zhang, Wei. Series: Simulationbased inference in econometrics 描述: Original document was handwritten so not in OCR searchable format.
关键词: Simulation, Econometric modeling, and Latent variables 学科: C15  Econometric and statistical methods : General  Simulation methods and C32  Multiple or simultaneous equation models  Timeseries models ; Dynamic quantile regressions 

Creator: Chari, V. V., Kehoe, Patrick J., and McGrattan, Ellen R. Series: Working Papers (Federal Reserve Bank of Minneapolis) Number: 619 


