Hostname: page-component-78c5997874-t5tsf Total loading time: 0 Render date: 2024-11-16T11:34:22.720Z Has data issue: false hasContentIssue false
  • English
  • Français

Rational Expectations in an Econometric Model: Niesr Model 8∗

Published online by Cambridge University Press:  26 March 2020

S.G. Hall  and
S.G.B. Henry
Get access Rights & Permissions [Opens in a new window]

Abstract

This article summarises research on the role of forward-looking behaviour in important sectors of a macro-econometric model. It is based on the work of a number of researchers at the National Institute over the last two years. Important changes are introduced into many central equations in the model We argue that on grounds of both the underlying theory and the plausibility of the empirical results, this work is a significant advance in explaining dynamic macro-economic behaviour.

Type
Articles
Information
National Institute Economic Review , Volume 114 , November 1985 , pp. 58 - 68
Copyright
Copyright © 1985 National Institute of Economic and Social Research

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Footnotes

∗

Thanks are due to Andrew Britton, Simon Wren-Lewis and an anonymous referee for comments on an earlier draft. Financial support by the ESRC for this research is gratefully acknowledged.

References

Anderson, P.A. (1979), ‘Rational expectation forecasts from non-rational modeis’, Journal of Monetary Economics, 5, pp. 67–80.CrossRefGoogle Scholar
Andrews, M. (1984), ‘The treatment of the labour market’ in Wallis, K. F. (ed.), Models of the UK Economy, Oxford University Press.Google Scholar
Andrews, M. and Nickell, S. (1983), ‘Trade unions, real wages and employment in Britain 1951-79’, Oxford Economic Papers, vol. 35, November, special supplement.CrossRefGoogle Scholar
Artis, M. and Cuthbertson, K. (1985), The demand for M1:a forward looking buffer stock model’, National institute Discussion Paper no. 87.Google Scholar
Beenstock, M. and Warburton, P. (1982), ‘An aggregative model of the UK labour market’, Oxford Economic Papers, vol. 34, pp. 253–75.CrossRefGoogle Scholar
Buiter, W.H. and Miller, M.M. (1981), ‘Monetary policy and international competitiveness: the problem of adjustment’, Oxford Economic Papers, vol. 33, July, pp. 143–75, special supplement.CrossRefGoogle Scholar
Dornbusch, R. (1976), ‘Expectations and exchange rate dynamics’, Journal of Political Economy, vol. 84, pp. 1161–76.CrossRefGoogle Scholar
Fair, R.C. (1979), ‘An analysis of a macro-economic model with rational expectations in the bond and stock markets’, American Economic Review, 69, pp. 539–552.Google Scholar
Fair, R.C. (1984), Specification, Estimation and Analysis of Macro-Econometric Models, Harvard University Press.Google Scholar
Granger, C.W.J. and Engle, R.F. (1985), ‘Dynamic model specification with equilibrium constraints: co-integration and error correction’, presented at the World Meeting of the Econometric Society, Boston, Mass.Google Scholar
Hall, S.G. (1984), ‘On the solution of high order difference equations’, Oxford Bulletin of Economics and Statistics, vol. 46, no. 1, pp. 85–9.Google Scholar
Hall, S.G. (1985a), ‘On the solution of large economic models with consistent expectations’, Bulletin of Economic Research, May, vol. 37, no. 2. pp. 157–61.CrossRefGoogle Scholar
Hall, S.G. (1985b), ‘A forward-looking model of the exchange rate’, NIESP Discussion Paper no. 91; forthcoming in the Proceedings of the International Economics Study Group ConferenceGoogle Scholar
Hall, S.G. and Brooks, S.J. (1985), ‘The use of prior regressions in the estimation of error correction models’, Economic Letters, forthcoming.Google Scholar
Hall, S.G. and Henry, S.G.B. (1985), ‘Dynamic experiments on a rational macro-economic model of the UK’, presented at the World Meeting of the Econometric Society, Boston, Mass.Google Scholar
Hall, S.G., Henry, S.G.B. and Johns, C.B. (1985), ‘Forecasting with an econometric model: some recent results using the National Institute model’, NIESR mimeo.Google Scholar
Hall, S.G., Henry, S.G.B., Markandya, A. and Pemberton, M. (1985), ‘The labour market in Britain: a disequilibrium approach’, NIESR mimeo.Google Scholar
Hendry, D.F. and Wallis, K.F. (1984), Econometrics and Quantitative Economics, Basil Blackwell, Oxford.Google Scholar
Henry, S.G.B. and Johns, C.B. (1985), ‘Simulations on National Institute Model 7’, NIESR mimeo.Google Scholar
Henry, S.G.B., Payne, J. and Trinder, C. (1985), ‘Unemployment and real wages: the role of unemployment, social security benefits and unionisation’, forthcoming in Oxford Economic Papers.CrossRefGoogle Scholar
Henry, S.G.B. and Wren-Lewis, S. (1984), ‘The aggregate labour market in the UK: some experiments with rational expectations models' in Contemporary Macroeconomic Modelling, Malgrange, P. and Muet, P. (eds), Blackwell.Google Scholar
Holt, C., Modigliani, F., Muth, J. and Simon, H. (1960), Planning Production Inventories and Workforce, Prentice Hall.Google Scholar
Keynes, J.M. (1936), The General Theory of Employment, Interest and Money, New York.Google Scholar
Layard, R. and Nickell, S. (1985), ‘The causes of British uriemployment’, National Institute, Economic Review, no. 111, February.CrossRefGoogle Scholar
Minford, P. (1983), ‘Labour market equilibrium in an open economy’, Oxford Economic Papers, Vol. 35, pp. 207–44, supplement.CrossRefGoogle Scholar
Niesr (1984), ‘National Institute Model 7’, National Institute of Economic and Social Research mimeo, November.Google Scholar
Nickell, S. (1981), ‘An investigation of the determinants of manufacturing employment in the UK’, Centre for Labour Economics, LSE Discussion Paper no. 105.Google Scholar
Pagan, A. (1984), ‘Econometric issues in the analysis of regression with generated regression’, International Economic Review. vol. 25, no. 1.CrossRefGoogle Scholar
Sargan, J.D. (1964), ‘Wages and prices in the UK’ in Hart, P., Mills, G. and Whittaker, J. (eds), Econometric Analysis for National Economic Planning, Butterworth.Google Scholar
Sargent, T. (1978), ‘Estimation of dynamic labour demand schedules’, Journal of Political Economy, vol. 86, pp. 1009–44.CrossRefGoogle Scholar
Smith, P. and Holly, S. (1985), ‘Wage and employment determination in the UK’, Centre for Economic Forecasting, London Business School, Discussion Paper no. 137.Google Scholar
Sumner, M. (1984), ‘The impact of stock relief’, Oxford Bulletin of Economics and Statistics, May, pp. 169–179.Google Scholar
Wallis, K.F. (1984) (ed), Models of the UK Economy, Oxford University Press.Google Scholar
Wickens, M. (1982), ‘The efficient estimation of econometric models with rational expectations’, Review of Economic Studies, 49, pp. 55–68.CrossRefGoogle Scholar
Wren-Lewis, S. (1984), ‘The roles of output expectations and liquidity in explaining recent productivity movements’, National Institute Economic Review, no. 108, May.CrossRefGoogle Scholar