Econometric Modelling Techniques and Applications

The latest techniques used in modelling the economy with policy analysis and applications.

Macroeconomic modelling has been one of the most important and influential areas of economic research. This book presents contributions from the leading researchers working in this area as part of the ongoing research project sponsored by the Economic and Social Research Council, Bank of England and UK Treasury. The papers combine a description of the latest techniques used in modelling the economy with an account of the way that models can be used for purposes of policy analysis. Designed for use by advanced students and professional economists, the book considers issues including: why 'bad' forecasters, i.e. those with no coherent and properly articulated view of the functioning of the macroeconomy, do so well; reconciling short term dynamics with economic theory; modelling tax policy; and the stabilisation costs of European Monetary Union.

List of contributors; 1. Introduction Sean Holly and Martin Weale; 2. Economic forecasting in the face of structural breaks David F. Hendry and Michael P. Clements; 3. The Treasury's forecasts of GDP and the RPI: how have they changed and what are the uncertainties? Chris Melliss and Rod Whittaker; 4. General equilibrium modelling of UK tax policy Keshab Bhattarai and John Whalley; 5. A structural cointegrating VAR approach to macroeconometric modelling Anthony Garratt, Kevin Lee, M. Hashem Pesaran and Yongcheol Shin; 6. Unemployment, the natural rate and structural change Jennifer V. Greenslade, Stephen G. Hall, J. Nixon, S. G. Brian Henry and James Nixon; 7. Macroeconomic models at the Bank of England Paul Fisher and John Whitley; 8. Estimated stabilisation costs of the EMU Ray C. Fair; 9. Optimal monetary policy Andrew P. Blake, Martin Weale and Garry Young; 10. How tough should monetary policy be if inflation is forward looking? Campbell B. Leith and Simon Wren-Lewis; 11. Technical progress and the natural rate in models of the UK economy Keith B. Church, Peter R. Mitchell, Joanne E. Sault and Kenneth F. Wallis; 12. The conduct of monetary policy when the business cycle is non-linear Steven Cook, Sean Holly and Paul Turner.

Macroeconomic modelling has been one of the most important and influential areas of economic research. This book presents contributions from the leading researchers working in this area as part of the ongoing research project sponsored by the Economic and Social Research Council, Bank of England and UK Treasury.