| 来源类型 | Discussion paper
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| 规范类型 | 论文
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| 来源ID | DP1571
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| DP1571 The Rise and Persistence of Rigidities |
| Gilles Saint-Paul
|
| 发表日期 | 1997-02-21
|
| 出版年 | 1997
|
| 语种 | 英语
|
| 摘要 | This paper analyses and forecasts annual time series of aggregate real income per head in the United States. The approach integrates elements from recent univariate time-series analyses with multi-equation macromodels in which policy feedback rules have been endogenized. The main conclusions are as follows. First, aggregate real per capita income is subject to significant trend reversion. This conclusion comes through more clearly by examining the data at an annual rather than the more usual quarterly frequency, and by incorporating multivariate economic content in the income process. Second, there is significant evidence for the Lucas (1976) or Haavelmo (1944) critique: in the United States there appears to have been a shift in the structural macro-policy reaction function causing a corresponding shift in the reduced-form income forecasting equation. This is associated with increased concern in the late 1980s over the size of US budget deficits. Third, with the above proviso, useful real income forecasts can be made as far as three years ahead. Finally, the paper provides empirical evidence for the effectiveness of monetary policy on real output or income. The change in the short-term interest rate is highly significant in forecasting income growth up to three years after the change. |
| 主题 | International Macroeconomics
|
| 关键词 | Income persistance
Lucas critique
Macro forecasts
Macro-policy feedback rules
Monetary policy transmission
Structural breaks
|
| URL | https://cepr.org/publications/dp1571
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530713
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推荐引用方式
GB/T 7714 |
Gilles Saint-Paul. DP1571 The Rise and Persistence of Rigidities. 1997.
|
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