영문목차
List of Tables=ⅸ
List of Figures=xi
Preface=xiii
Abbreviations=xv
1. Introduction=1
1.1. Outline of the Book=1
1.2. Methodology=4
1.3. Macro Theory=5
1.4. Notation and 2SLS Estimation=6
1.5. Testing Single Equations=7
1.6. Testing Complete Models=13
1.7. Solving Optimal Control Problems=14
1.8. The FP Program and the Website=15
2. The MC Model=16
2.1. The Model in Tables=16
2.2. Treatment of Expectations=18
2.3. An Overview of the Model=18
2.4. The US Stochastic Equations=22
2.5. The ROW Stochastic Equations=47
3. Interest Rate Effects=61
3.1. Introduction=61
3.2. The Test=61
3.3. The Results=65
4. Testing the NAIRU Model=67
4.1. Introduction=67
4.2. The NAIRU Model=67
4.3. Tests for the United States=69
4.4. Tests for the ROW Countries=75
4.5. Properties=77
4.6. Nonlinearities=78
5. U.S. Wealth Effects=80
5.1. Introduction=80
5.2. The Effects of CG=80
5.3. Changing AA by 1,000=82
6. Testing for a New Economy in the 1990s=85
6.1. Introduction=85
6.2. End-of-Sample Stability Tests=90
6.3. No Stock Market Boom:Counterfactual=90
6.4. Aggregate Productivity=97
6.5. Conclusion=100
7. A "Modern" View of Macroeconomics=101
7.1. Introduction=101
7.2. Estimated Effects of a Positive Inflation Shock=103
7.3. The FRB/US Model=106
7.4. Conclusion=107
8. Estimated European Inflation Costs=108
8.1. Introduction=108
8.2. The Experiment=109
8.3. Conclusion=113
9. Stochastic Simulation and Bootstrapping=114
9.1. Stochastic Simulation=114
9.2. Bootstrapping=116
9.3. Distribution of the Coefficient Estimates=117
9.4. Analysis of Models Properties=120
9.5. Bias Correction=122
9.6. An Example Using the US Model=122
9.7. Conclusion=129
10. Certainty Equivalence=130
10.1. Introduction=130
10.2. Analytic Results=130
10.3. Relaxing the CE Assumption=131
10.4. Results Using the US Model=132
11. Evaluating Policy Rules=134
11.1. Introduction=134
11.2. The Effects of a Decrease in RS=135
11.3. Stabilization Effectiveness of Four Rules=138
11.4. Optimal Control=141
11.5. Adding a Tax Rate Rule=145
11.6. Conclusion=146
12. EMU Stabilization Costs=147
12.1. Introduction=147
12.2. The Stochastic-Simulation Procedure=148
12.3. Results for the non-EMU Regime=148
12.4. Results for the EMU Regime=150
12.5. Conclusion=152
13. RE Models=154
13.1. Introduction=154
13.2. The RE Model=155
13.3. Solution of RE Models=155
13.4. Optimal Control for RE Models=157
13.5. Stochastic Simulation of RE Models=158
13.6. Stochastic Simulation and Optimal Control=159
13.7. Coding=160
13.8. An Example:An RE Version of the US(EX, PIM)Model=161
13.9. Conclusion=162
14. Model Comparisons=163
14.1. Introduction=163
14.2. The US+ Model=163
14.3. The VAR Model=164
14.4. The AC Model=164
14.5. Outside Sample RMSEs=165
14.6. FS Tests=166
14.7. Sources of Uncertainty=170
14.8. Conclusion=172
15. Conclusion=173
The U.S. Economy in the 1990s=173
Price Equations=173
Monetary Policy=174
EMU Stabilization Costs=175
Bootstrapping=175
Certainty Equivalence and Optimal Control=175
Rational Expectations=176
Testing Equations and Models=176
Appendix A. The US Model=179
A.1. About Tables A.1-A.10=179
A.2. The Raw Data=180
A.3. Variable Construction=181
A.4. The Identities=187
Appendix B. The ROW Model=239
B.1. About Tables B.1-B.6=239
B.2. The Raw Data=240
B.3. Variable Construction=240
B.4. The Identities=242
B.5. The Linking Equations=243
B.6. Solution of the MC Model=243
References=285
Index=293
2.1. Determination of Some Variables per Country in the ROW Model=19
3.1. Nominal versus Real Interest Rates:αiSubscriptt + βpSuperscripteSubscriptt=62
3.2. Estimates of α and β:αiSubscriptt + βpSuperscripteSubscriptt=64
4.1. Estimates of Equations 4.4 and 4.5 for the United States=70
4.2. Recursive RMSEs=73
4.3. Results for Equations 4.4 and 4.5 for the ROW Countries=74
4.4. Effects of a One-Percentage-Point Fall in u=78
5.1. Variables Referenced in Chapter 5=81
5.2. The Three U.S. Household Consumption Expenditure Equations(from Tables A1, A2, and A3)=83
5.3. Effects on CS + CN + CD of a Change in AA of 1,000=84
6.1. End-of-Sample Test Results for the United States=91
7.1. Effects of a Positive Shock to US Price Equation 10:Nominal Interest Rate, RS, Unchanged from Base Values=104
8.1. Effects of a Decrease in the German Interest Rate in 1982:1-1990:4=110
8.2. Changes from the Base Values after 36 Quarters=113
9.1. Estimated Coverage Accuracy for the US Model=120
9.2. Confidence Intervals for Selected Coefficients=125
9.3. Results for the AP Tests=126
9.4. Simulation Results for 2000:4-2002:3=127
9.5. Multiplier Results for 2000:4-2002:3=128
11.1. Effects of a Decrease in RS=136
11.2. Variability Estimates:Values of LSubscripti=141
12.1. Values of LSubscripti for Four Experiments=149
13.1. Notation in Alphabetical Order=155
14.1. Outside Sample RMSEs=166
14.2. FS Tests:Equation 14.1 Estimates=168
14.3. Sources of Uncertainty:US Model=170
A.1. The Six Sectors of the US Model=189
A.2. The Variables in the US Model in Alphabetical Order=190
A.3. The Equations of the US Model=195
A.4. Coefficient Estimates and Test Results for the US Equations=201
A.5. The Raw Data Variables for the US Model=217
A.6. Links between the National Income and Product Accounts and the Flow of Funds Accounts=225
A.7. Construction of the Variables for the US Model=226
A.8. Solution of the Model under Alternative Monetary Assumptions=231
A.9. First-Stage Regressors for the US Model for 2SLS=232
A.10. Variables Used in Each Equation=235
B.1. The Countries and Variables in the MC Model=246
B.2. The Variables for a Given Country in Alphabetical Order=247
B.3. The Equations for a Given Country=249
B.4. Coefficient Estimates and Test Results for the ROW Equations=252
B.5. Links between the US and ROW Models=283
B.6. Construction of the Balance-of-Payments Data:Data for S and TT=284
6.1. S&P Price-Earnings Ratio, 1948:1-2002:3=86
6.2. NIPA Personal Saving Rate, 1948:1-2002:3=86
6.3. Ratio of U.S. Current Account to GDP, 1948:1-2002:3=87
6.4. Investment-Output Ratio, 1948:1-2002:3=87
6.5. Ratio of Federal Government Surplus to GDP, 1948:1-2002:3=88
6.6. Fourth-Quarter Growth Rate of S&P 500 Earnings, 1948:1-2002:3=89
6.7. Ratio of NIPA Profits to GDP, 1948:1-2002:3=89
6.8. NIPA Personal Saving Rate, 1995:1-2002:3=92
6.9. Ratio of U.S. Current Account to GDP, 1995:1-2002:3=93
6.10. Investment-Output Ratio, 1995:1-2002:3=94
6.11. Ratio of Federal Government Budget Surplus to GDP, 1995:1-2002:3=94
6.12. Four-Quarter Growth Rate of Real GDP, 1995:1-2002:3=95
6.13. Unemployment Rate, 1995:1-2002:3=95
6.14. Four-Quarter Percentage Change in PF, 1995:1-2002:3=96
6.15. Three-Month Treasury Bill Rate, 1995:1-2002:3=96
6.16a. Log of Output per Worker Hour, 1948:1-2002:3:Total Economy Less General Government=98
6.16b. Log of Output per Worker Hour, 1985:1-2002:3:Total Economy Less General Government=98
6.17a. Log of Output per Worker Hour, 1948:1-2002:3:Nonfarm Business=99
6.17b. Log of Output per Worker Hour, 1985:1-2002:3:Nonfarm Business=99