ISSN:0020-7721    

DOI:10.1080/00207729408929001

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

Historically, microeconomics was the domain of scientific methodology in economics, while macroeconomics attacted less mathematically oriented economists. In recent years, the level of sophistication of macroeconomics has grown dramatically, and that field now attracts many of the most mathematically oriented economists. Nevertheless, the field's set of shared views (i.e. maintained hypotheses) has not grown. The purpose of the scientific method is to permit the maintained hypotheses within a field to grow by establishing a rigorous methodology for deductively deriving and empirically testing hypotheses. The field of macroeconomics has failed that test of scientific success during precisely the decades of most rapid growth in the use of scientific methodology. It is argued that the source of the paradox lies in the fact that the inroads of science into macroeconomics have been asymmetrical. Central to the definition and objectives of macroeconomics is dimension reduction and dynamics. Rigorous dimension reduction is impossible without formal aggregration, and complex dynamics is impossible without non-linearity. Yet applications of formal aggregation theory and non-linear dynamics to macroeconomics have progressed very slowly, at a time when scientific methodology in other areas of macroeconomics has advanced rapidly. This asymmetry explains the paradox.

ISSN:0020-7721    

DOI:10.1080/00207729408929002

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

The developments in the treatment of expectations in empirical macroeconomic models that have taken place over the last 30 years are surveyed. The main concern is to focus on the implications of expectation effects in the practical use of models, i.e. in forecasting and policy analysis, rather than to consider either the theoretical literature or the literature on econometric estimation and identification, both of which are already well surveyed. The general development in expectations models is discussed first. Then the literature on linear models is considered and the development of expectations effects to large nonlinear econometric models is examined.

ISSN:0020-7721    

DOI:10.1080/00207729408929003

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

A test of the relationship between financial asset values and the fundamentals is presented. The test is an indirect test based on Tobin's (1969) q model of investment. The advantage of this test is that it avoids conditioning on a specific model of equilibrium returns by substituting an observable proxy, capital, for the unobservable fundamental value of the firm. It is shown that under mild restrictions, the value of capital and the financial value of the firm should move together even if marginal or average q does not accurately describe the actual investment decision rule. Average q is a mean reverting process. The results of tests for violations of the mean reversion restriction are presented. The tests cannot reject the unit root null hypothesis for a long annual sample from 1926 to 1988 or a quarterly post-World War II sample. The power of the tests is examined with Monte Carlo simulations. The simulations show that the tests have good power until the serial correlation in the series gets quite high. The tests cannot distinguish between no mean reversion and very slow mean reversion. The empirical evidence presented in this paper provides fairly strong evidence against the hypothesis that the financial and real values are closely linked in the short run or even in the medium run.

ISSN:0020-7721    

DOI:10.1080/00207729408929004

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

Three types of nonlinear models of volatility of market returns based on the conditional variance models and the logistic and cubic versions of chaotic dynamics are critically reviewed here and empirically tested against three types of market indices: value weighted equally weighted and Standard and Poor's return index for the New York Stock Market. Econometric results provide valuable insights into the temporal variations of the conditional variances and skewness of market returns.

ISSN:0020-7721    

DOI:10.1080/00207729408929005

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

Traditional monetarist thinking argues that currency devaluations are counterproductive because they generate additional inflationary pressures. Expectations that future inflation will have to be accommodated undermine the credibility (and hence effectiveness) of current monetary policies. However, these arguments neglect the impact on activity levels and whether there is spare capacity. Hard (or contractionary) monetary policies in recession will cause an equal loss of credibility with investors and forward-looking consumers who will make their expenditures elsewhere. These are therefore circumstances when currency devaluation could be helpful, and without inflationary consequences if rising productivity and spare capacity offset import price rises. Moreover, devaluation within a currency bloc can leave the effective exchange rate unchanged if the bloc is rising against external currencies; while boosting demand at the same time if the within-bloc import/export elasticities are higher than those outside. This paper tests these arguments econo-metrically, and shows that the conditions for a successful Sterling devaluation did exist in 1992.

ISSN:0020-7721    

DOI:10.1080/00207729408929006

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

For over a decade, the ERM survived in defiance of gloomy predictions that its fate would be similar to that of'the Snake' in the 1970s, which disintegrated a few years after the collapse of Bretton Woods. It survived even the abolition of exchange controls in 1990. But finally it broke down in the face of a series of large shocks—a fluctuating dollar, German reunification, and the debate over the Maastricht Treaty. This paper uses stochastic simulation of the Liverpool World Model to examine the weaknesses in the ERM and compares its stochastic performance with that of floating exchange rates. It argues that European monetary policy should return to domestic monetary targeting within floating exchange rates. It finds that cooperation in European monetary policy is delivered with least stochastic disturbance within such a regime.

ISSN:0020-7721    

DOI:10.1080/00207729408929007

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

The monetary approach to the balance of payments has, in essence, two theorems: (i) The foreign assets of the central bank are negatively related to its domestic assets; (ii) the excess supply of money causes, and is equivalent to, the trade deficit. This paper tests these theorems for India using OLS, 2SLS, and co-integration, error-correction modelling. The IMF-supported adjustment programs are based upon the monetary approach to the balance of payments. It is shown that the first theorem may be refuted in a framework of general equilibrium with Keynesian features. Hence, it is concluded that the model of the economy should be estimated first in order to derive action parameters and performance criteria for stabilizing the economy.

ISSN:0020-7721    

DOI:10.1080/00207729408929008

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

Whether the equilibria towards which economic variables gravitate are stable or exhibit historic path dependence (i.e. hysteresis) is of central importance for the efficacy of stabilization policy. Given that such hysteresis is a natural consequence of nonlinearity in the conditional mean of the data generating process, we lest for the presence of hysteretic path dependence by examining the time series properties of monthly U.S. aggregate and disaggregate data over the post Bretton Woods period 1971-1993. Our results suggest that such nonlinearity is indeed present and capable of representation using bilinear and threshold autoregressive models, estimates implying strong asymmetry in the behaviour of our series with recessionary periods being inherently more‘'noisy’. Finally, we consider generalized threshold vector autoregressive models where threshold regimes are conditioned on the sign of the change in the growth rate of industrial production (i.e. the ‘business cycle’). These models reveal that cyclical behaviour of unemployment and the real wage is complex, being procyclical during business cycle expansions but countercyclical and independent, respectively, during contractions.

ISSN:0020-7721    

DOI:10.1080/00207729408929009

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor