Inside a modern macroeconometric model a guide to the Murphy model ; with 90 tables

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Hauptverfasser: Powell, Alan A. 1937- (VerfasserIn), Murphy, Christopher W. 1956- (VerfasserIn)
Format: Buch
Sprache:German
Veröffentlicht: Berlin [u.a.] Springer 1997
Ausgabe:2., rev. and enl. ed.
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adam_text Alan A Powell • Christopher W Murphy Inside a Modern Macro econometric Model A Guide to the Murphy Model Second, Revised and Enlarged Edition With a contribution by Nicholas Conron With 107 Figures and 90 Tables Springer CONTENTS Model-Builder s Preface Model-Watcher s Preface vii ix Part 1 — Setting the Scene Chapter 1 How TO USE THIS BOOK Chapter 2 DISTINGUISHING FEATURES OF MM 2 1 Overview ofMMs relationship to other macro models (a) Size (b) Eclecticism (c) Relationship to macro and micro paradigms Id) Long-run properties (e) Specification testing 2 2 Main economic features (a) Dombusch Model attributes (b) Long-run optimizing behaviour in production (c) Feedback effects from assets Chapter 3 PRINCIPAL MECHANISMS IN MM 3 1 Introduction 3 2 The Mundell-Fleming model (a) The MF model s equations (b) Monetary and fiscal policy under flexible exchange rates in the MF model 3 3 Dombusch s 1976 model (a) Basic assumptions (b) Underlying structural model (c) Partially reducedform (d) More on the underlying structural model —portfolio balance (e) Equilibrium exchange rate (ft Model consistent expectations (g) The effects of a monetary expansion under rational expectations 3 4 Insights from 1980s developments in open-economy macroeconomics 3 5 Synopsis of illustrative simulations with MM (a) Monetary expansion (b) The NAIRU and the neoclassical long run (c) Fiscal policy and public debtfeedback (d) Private consumption and foreign debtfeedback (e) Non-Ricardian equivalence xii Inside A Modem Macroeconometric Model CHAPTER 3 (continued) 36A highly stylized miniature model of balanced growth (HSM) 58 (a) Main assumptions underlying HSM 58 (b) Production function and resource endowment 63 (c) Capital accumulation and the rate of return; domestic inflation and exchange rate determination 63 (d) Growth in capital stock, workforce, output and real wages 65 (e) Intertemporal budget constraint 67 (ft Balance of trade 70 (g) Qualitative behaviour of HSM under parameter shifts 71 (h) Growth rates of prices and of nominal and real magnitudes inHSMandinMM 75 3 7 Conclusions from this chapter 77 Part 2 — Structural Form of MM Chapter 4 Chapter 5 Chapter 6 OVERVIEW OF PART TWO Introduction Notation Nomenclature for equations Estimation methods, specification searches and hypothesis testing (a) General considerations (b) Data sources (c) Computing (d) Estimation methods (e) Obtaining a preferred equation (ft Diagnostic testing Equation count and standard closure for simulations Brief account of solution method WAGE BEHAVIOUR Introduction Technological change - basic ideas (a) Numerical example (b) Factor-augmenting technical change (c) Efficiency units The role of Harrod-neutral technical progress in MM Notation - Variables in wage equation S03 Inflationary expectations augmented Phillips Curve • — Steady state Estimated coefficients LABOUR FORCE PARTICIPATION Introduction • Notation Finding the underlying trend in the potential size of the workforce Labour supply equation S02 Estimated coefficients Steady state Encowaaed/discouraaed worker effect Contents xiii Chapter 7 PRIVATE CONSUMPTION BEHAVIOUR 7 1 Introduction and notation 117 7 2 Equilibrium consumption—equations S04A 117 7 3 Dynamic disequilibrium consumption equation S04 120 7 4 Steady state 121 7 5 Parameter Estimates 122 Chapter 8 BEHAVIOUR OF THE RENTAL PRICE OF HOUSING 8 1 Introduction and notation 123 8 2 Allocation of consumption into housing rental services and other 125 8 3 Dwelling rental price dynamics — within sample — equation SOI 128 8 4 Steady state 130 8 5 Dwelling rental price dynamics —forecast period 130 86 Estimated coefficients 132 8 7 Behavioural identity 103, consumption price index, and identity 101, definition of real consumption 132 Chapter 9 PRODUCTION OF HOUSING RENTAL SERVICES AND INVESTMENT IN DWELLINGS 9 1 Introduction 135 9 2 Notation — Levels variables 136 9 3 Notation — Depreciation, interest, growth and inflation rates 137 9 4 Notation — Coefficients 138 9 5 Production of housing rental services — identity 104 138 9 6 The natural real growth rate — identities 171 and 172 139 9 7 Dwelling investment — equation S05 141 — Present value calculation 141 — Expectations of investors in housing stock 142 — Steady state 145 9 8 Estimated coefficients 146 — Estimated risk premium 147 9 9 Some weaknesses of the approach 147 Chapter 10 THE ENTERPRISE PRODUCTION BLOCK OF THE BUSINESS SECTOR 10 1 Introduction 149 10 2 An overview of the production structure of the enterprise economy 150 10 3 Preliminaries on the CES/CETproduction technology 150 — Input-output separability 150 10 4 Lengths of run in MM and in the enterprise production block 155 (a) Introduction (b) Concepts of length of run — Short (or Keynesian) run of MM as a whole — Medium (or classical) run of MM as a whole — Long (or neoclassical) run of MM as a whole (c) The medium run of the enterprise production block (d) Parameter estimation of the medium-run neo- classical sub-model (e) The long run of the enterprise production block (ft Role of the medium-and long-run closures of the enterprise production block in generating the long run of MM as a whole xlv Inside A Modem Macroeconometric Model Chapter 11 Chapter 12 Chapter 13 Chapter 14 Chapter 15 Chapter 16 Chapter 17 Chapter 18 BUSINESS FIXED INVESTMENT Introduction and notation Expected present value of the net revenue stream Tobin s (average) q ratio Stochastic dynamic investment equation S13 — Steady state Estimated coefficients BUSINESS SECTOR EMPLOYMENT Introduction and notation Business sector employment equation S10 Steady state Estimates IMPORT SUPPLY AND DEMAND Introduction and notation Import supply under the small country assumption Import demand — introduction and notation Equilibrium import demand equation Dynamic demand equation for Imports S09 — Steady state Estimates Trade-weighted exchange rate index AGGREGATE EXPORT SUPPLY Introduction, notation and specification — Steady state Estimates DlSAGGREGATION OF EXPORT SUPPLY Introduction; notation and specification for export compositional equation S06; its steady state Estimates Supply of other exports Supply of commodity exports Price index for aggregate exports OVERSEAS DEMAND FOR COMMODITY EXPORTS Introduction and notation Form of the demand equation Steady state Estimates INVENTORY INVESTMENT IN COMMODITY EXPORTS Introduction and generic notation; form of the inventory equations Inventory investment in commodity exports (a) Notationfor stochastic inventory equation S07 and accumulation identity 107 (b) Export commodity inventory investment equation SO 7 (c) Estimates (d) Steady state DEMAND FOR NON- COMMODITY EXPORTS Introduction and notation Form of the demand and flexibility equations Estimates Steadu state Contents xv Chapter 19 DOMESTIC GOOD INVENTORY INVESTMENT 19 1 Introduction and notation 19 2 Desired stock of non-farm inventories 19 3 Partial adjustment equation 19 4 Estimated coefficients 19 5 Steady state Chapter 20 PRICE DYNAMICS FOR THE DOMESTIC GOOD 20 1 Introduction, notation and specification — Steady state 20 2 Estimated coefficients Chapter 21 SALES OF THE DOMESTIC GOOD; MISCELLANEOUS IDENTITIES FOR INVESTMENTAND CAPTTAL 21 1 Introduction and notationfor identities 108,109,113 and 144 21 2 Demand for, and sales of, the domestic good and miscellaneous identities (a) Demand determination of output of the domestic good in the very short run (b) Public-private split of business fixed investment Chapter 22 THE GOVERNMENT SECTOR 22 1 Introduction 22 2 General government sector spending 22 3 The public sector deficit — identities 135-138 and 145-149 22 4 Public sector portfolio allocation 22 5 Target public debt to GDP ratio and the tax reaction function (a) The tax reactionfunction 148 (b) Steady state (c) Calibration Chapter 23 FINANCIAL MARKETS 23 1 Introduction 23 2 Formation of interest rates — identities 131-133, 115-117,126 (a) Notationfor interest rate formation and uncovered interest parity (b) Expectations theory of the term structure of interest rates (c) Inflation and inflationary expectations (d) Real 10-year bond rate (e) Long-run actual rate of return on business fixed capital (ft Definitions of foreign short- and long-term interest rates 23 3 Uncovered interest parity— identity 127 23 4 Two key exchange rates 23 5 Money demand — equation SI6 (a) Specification and notation (b) Estimates 23 6 Balance of payments identity 151 Chapter 24 NATIONAL-ACCOUNTING, STOCK-FLOW AND MISCELLANEOUS IDENTITIES 24 1 Introduction 24 2 National-accounting identities 24 3 Stock-flow Identities 24 4 Lead-lag Identities 24 5 Three definitional identities APPENDICES TO PART 2 2 1 List of variables in MM 2 2 List of coefficients and parameters in MM 2 3 Classification of MM equations 2 4 Consolidated equation list 2 5 Concordance between original MM notation for variables and notation used in Part 2 xvl Inside A Modern Macroeconometric Model Part 3 — Simulations with MM Chapter 25 INTRODUCTION TO THE SIMULATIONS 25 1 Preamble 303 25 2 Use of miniature models in Part 3 303 25 3 Guide to Chapters 26 and 27 305 Chapter 26 MONETARY SHOCKS 26 1 Introduction and notation 307 26 2 Features shared with the Dombusch model 309 26 3 Overshooting and undershooting exchange rates revisited 311 (a) Inevitability of overshooting in DBM 311 (b) Possible sources of different exchange rate behaviour in DBM and MM 312 (c) Rigorous definition of undershooting and overshooting exchange rates 314 (d) Reporting simulation results for the exchange rate as deviations 314 (e) MMs undershooting exchange rate 315 26 4 An extended Dombusch model with inertia 317 (a) Inertia in the IS curve 317 (b) Solution sequence for the extended DBM 318 (c) Form of the lag distributionfor aggregate demand in the extended DBM 319 (d) Factors responsible for inertia in aggregate demand in MM 321 (e) Solutions of the extended DBM 321 26 5 Detailed analysis of MM responses to a monetary shock 326 (a) Effects on the interest rate via the demandfor money curve 326 (b) Strategy for explaining the path of the exchange rate after the initial devaluation 328 (c) Simplified price system for MM 328 (d) (Vibrating the simplified price system 332 (e) Explaining short-term interest rate movements 333 (ft Responses of dwelling investment and consumption 334 (g) Responses of business fixed investment 338 26 6 D4M — a descriptive miniature Murphy Model for the analysis of a monetary shock 339 (a) GNE, the price of the domestic good, and the interest and exchange rates 339 (b) Calibrating D4M to MM 341 (c) Completing the miniature model the trade account and GDP 345 (d) Extending the coverage qfD4M: investment, imports and employment 346 26 7 Summary 348 Chapter 27 A FISCAL SHOCK 27 1 The nature of the shock and general introduction 351 27 2 Strategy for constructing a shock-specific miniature 353 27 3 Identifying important initial consequences of the fiscal shock 355 fa; The initial jump in GNE 355 — The jump in consumption 356 — Contribution to GNE of increased general government employment via labour market and wealth effects in MMs consumption junction 357 — Direct contributions to GNE of government spending 358 (b) Price behaviour in quarters 1 and 2 following the shock 358 — Regaining our bearings, I 363 27 4 Terminal conditions, I: Insights from HSM 364 Contents xvii 27 5 Terminal conditions, II: S3MM—A stylized steady-state Murphy Model 366 (a; Introduction to S3MM 366 (b) Sustainability of foreign debt 372 (c) Effects of fiscal expansion in S3MM 375 — Macro comparisons with MM 377 — Increased public consumption 379 — Increased public employment 383 — Regaining our bearings, H 384 27 6 F3M—A fiscal miniature Murphy Model 385 (a) Sfeady-state values for nominal GNE, the price of the domestic good, and the nominal exchange rate 386 (b) Calibration of F3M 387 27 7 MM s dynamic response 387 (a) Wealth, foreign debt, labour income and consumption 388 — Portfolio changes 390 (b) The real exchange rate and the trade account 391 (c) Investment and GDP 392 (d) Employment 394 27 8 Summary 396 APPENDICES TO PART 3 3 1 Parameter file for MM used in Part 3 397 3 2 Excel spreadsheet used to solve the Extended Dombusch Model 399 3 3 Values of variables for calculating ratios in MM s steady state 401 Part 4 — New Horizons Chapter 28 MM2— A FULLY INTEGRATED MACRO-CGE MODEL 28 1 Introduction 403 28 2 Structure qfMM2 403 (a) Aggregate level 406 (b) Industry level 410 (c) Commodity group level 413 (d) MM2-Demographic and MM2-States 414 (e) Econometric aspects 414 28 3 A monetary contraction—scenario and monetary policy equation 414 28 4 Macro effects of a monetary contraction 416 25 5 Industry effects of a monetary contraction 420 (a) Production 420 (b) Business investment 422 (c) Adjustment in the manufacturing sector 424 28 6 State effects of a monetary contraction 426 28 7 Summary of the simulations and concluding policy perspective 428 28 8 Commercial availability ofMM2 software 430 xviii Inside A Modern Macroeconometric Model REFERENCES 431 AUTHOR AND PERSONAL NAMES INDEX 435 SUBJECT INDEX 437 TABLES 447 FIGURES 450 EXERCISES 454
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Inside a modern macroeconometric model a guide to the Murphy model ; with 90 tables
Makroökonomisches Modell (DE-588)4074486-3 gnd
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title Inside a modern macroeconometric model a guide to the Murphy model ; with 90 tables
title_auth Inside a modern macroeconometric model a guide to the Murphy model ; with 90 tables
title_exact_search Inside a modern macroeconometric model a guide to the Murphy model ; with 90 tables
title_full Inside a modern macroeconometric model a guide to the Murphy model ; with 90 tables Alan A. Powell ; Christopher W. Murphy. With a contribution by Nicholas Conron
title_fullStr Inside a modern macroeconometric model a guide to the Murphy model ; with 90 tables Alan A. Powell ; Christopher W. Murphy. With a contribution by Nicholas Conron
title_full_unstemmed Inside a modern macroeconometric model a guide to the Murphy model ; with 90 tables Alan A. Powell ; Christopher W. Murphy. With a contribution by Nicholas Conron
title_short Inside a modern macroeconometric model
title_sort inside a modern macroeconometric model a guide to the murphy model with 90 tables
title_sub a guide to the Murphy model ; with 90 tables
topic Makroökonomisches Modell (DE-588)4074486-3 gnd
topic_facet Makroökonomisches Modell
url http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007669950&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
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