A Rational Expectations Approach to Macroeconometrics

Testing Policy Ineffectiveness and Efficient-Markets Models

Frederic S. Mishkin

A Rational Expectations Approach to Macroeconometrics
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Frederic S. Mishkin

179 pages | © 1983
Paper $23.00 ISBN: 9780226531878 Published January 1986
E-book $7.00 to $20.00 About E-books ISBN: 9780226531922 Published November 2007
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.
Contents
Acknowledgments
1. Introduction

Part I: 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 Forces 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 Polynomial Distributed Lags
     Appendix 6.4 Jointly Estimated Forecasting Equations

7. Concluding Remarks

References
Index 
For more information, or to order this book, please visit http://www.press.uchicago.edu
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