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A Rational Expectations Approach to Macroeconometrics
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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 as discussed by the authors, which emphasize the effects from unanticipated, rather than anticipated, movements in variables.Abstract:
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 programread more
Citations
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Journal ArticleDOI
Estimation and Inference in Two-Step Econometric Models
Kevin M. Murphy,Robert H. Topel +1 more
TL;DR: In this article, the authors present a simple yet general method of calculating asymptotically correct standard errors in T-S models, which may be applied even when joint estimation methods, such as full information maximum likelihood, are inappropriate or computationally infeasible.
Journal ArticleDOI
The identification of monetary policy disturbances Explaining the liquidity puzzle
TL;DR: This article examined recent work on the identification of monetary policy disturbances and found that the empirical anomalies found in the literature reflect a failure to properly address the Federal Reserve's policy of accommodating reserve demand shocks.
Journal ArticleDOI
Monetary, Credit and (Other) Transmission Processes: A Monetarist Perspective
TL;DR: In this article, the authors compare the monetarist analysis of intermediation to the lending view and present evidence on the role of relative prices, lending, and other types of intermediary intermediation.
Book ChapterDOI
Chapter 8 The demand for money
TL;DR: This paper reviewed underlying theoretical models to re-examine measurement and specification issues such as the definition of money and the appropriate scale and opportunity cost variables, and discussed the estimation issues, criticisms, and modifications in the partial adjustment model.
Journal ArticleDOI
Returns to contrarian investment strategies: Tests of naive expectations hypotheses
TL;DR: This article examined the ability of naive investor expectations models to explain the higher returns to contrarian investment strategies and found no systematic evidence that stock prices reflect naive extrapolation of past trends in earnings and sales growth.
References
More filters
Journal ArticleDOI
Estimation and Inference in Two-Step Econometric Models
Kevin M. Murphy,Robert H. Topel +1 more
TL;DR: In this article, the authors present a simple yet general method of calculating asymptotically correct standard errors in T-S models, which may be applied even when joint estimation methods, such as full information maximum likelihood, are inappropriate or computationally infeasible.
Journal ArticleDOI
The identification of monetary policy disturbances Explaining the liquidity puzzle
TL;DR: This article examined recent work on the identification of monetary policy disturbances and found that the empirical anomalies found in the literature reflect a failure to properly address the Federal Reserve's policy of accommodating reserve demand shocks.
Journal ArticleDOI
Monetary, Credit and (Other) Transmission Processes: A Monetarist Perspective
TL;DR: In this article, the authors compare the monetarist analysis of intermediation to the lending view and present evidence on the role of relative prices, lending, and other types of intermediary intermediation.
Book ChapterDOI
Chapter 8 The demand for money
TL;DR: This paper reviewed underlying theoretical models to re-examine measurement and specification issues such as the definition of money and the appropriate scale and opportunity cost variables, and discussed the estimation issues, criticisms, and modifications in the partial adjustment model.
Journal ArticleDOI
Returns to contrarian investment strategies: Tests of naive expectations hypotheses
TL;DR: This article examined the ability of naive investor expectations models to explain the higher returns to contrarian investment strategies and found no systematic evidence that stock prices reflect naive extrapolation of past trends in earnings and sales growth.