Evolving Macroeconomic Dynamics: A Time-Varying Structural Approach Using the Correct Measure of Money

2016 ◽  
Author(s):  
Michael Ellington ◽  
Costas Milas
Keyword(s):  
Structural Approach ◽  
Time Varying ◽  
Macroeconomic Dynamics ◽  
Correct Measure

scholarly journals HAS GLOBALIZATION TRANSFORMED U.S. MACROECONOMIC DYNAMICS?

2012 ◽  
Vol 16 (2) ◽  
pp. 204-229 ◽  
Author(s):  
Fabio Milani
Keyword(s):  
Open Economy ◽  
Phillips Curve ◽  
New Keynesian ◽  
Time Varying ◽  
Closed Economy ◽  
Monetary Policy Shocks ◽  
Macroeconomic Dynamics ◽  
Keynesian Model ◽  
Policy Shocks ◽  
Openness To Trade

This paper estimates a structural New Keynesian model to test whether globalization has changed the behavior of U.S. macroeconomic variables. Several key coefficients in the model–such as the slopes of the Phillips and IS curves, the sensitivities of domestic inflation and output to “global” output, and so forth–are allowed in the estimation to depend on the extent of globalization (modeled as the changing degree of openness to trade of the economy), and, therefore, they become time-varying. The empirical results indicate that globalization can explain only a small part of the reduction in the slope of the Phillips curve. The sensitivity of U.S. inflation to global measures of output may have increased over the sample, but it remains very small. The changes in the IS curve caused by globalization are similarly modest. Globalization does not seem to have led to an attenuation in the effects of monetary policy shocks. The nested closed-economy specification still appears to provide a substantially better fit of U.S. data than various open-economy specifications with time-varying degrees of openness. Some time variation in the model coefficients over the postwar sample exists, particularly in the volatilities of the shocks, but it is unlikely to be related to globalization.

scholarly journals The Impact of Stock Prices on Consumption and Interest Rate in Turkey: Evidence from a Time Varying Vector Autoregressive Model

2014 ◽  
Author(s):  
Evrim Tören
Keyword(s):  
Interest Rate ◽  
Stochastic Volatility ◽  
Open Economy ◽  
Stock Prices ◽  
Autoregressive Model ◽  
Time Varying ◽  
Vector Autoregressive Model ◽  
Macroeconomic Dynamics ◽  
Vector Autoregressive ◽  
The Impact

This paper aims to examine the spillovers from stock prices onto consumption and interest rate for Turkey by using a time-varying vector autoregressive model with stochastic volatility. A three-variable time-varying vector autoregressive model is estimated to capture the time-varying nature of the macroeconomic dynamics in the Turkish economy between real consumption, nominal interest rate and real stock prices. In order to obtain the macroeconomic dynamics in a small open economy, the data covers the period 1987:Q1 until 2013:Q3 in Turkey. The sample data is gathered from the official website of Central Bank of the Republic of Turkey. Overall, this study provides the evidence of significant time-varying spillovers on consumption and interest rate coming from the stock market during financial crises and implications of monetary policy in Turkey. In addition, a time-varying vector autoregressive model with stochastic volatility offers remarkable results about the impact of price shock on consumption levels in Turkey.

HETEROGENEITY IN INFLATION EXPECTATIONS AND MACROECONOMIC DYNAMICS UNDER EVOLUTIONARILY SATISFICING LEARNING

2020 ◽  
pp. 1-33
Author(s):  
Jaylson Jair da Silveira ◽  
Gilberto Tadeu Lima
Keyword(s):  
Empirical Evidence ◽  
Output Growth ◽  
Inflation Expectations ◽  
Forecast Errors ◽  
Time Varying ◽  
Macroeconomic Dynamics ◽  
Inflation Forecasting ◽  
Long Run ◽  
Ex Ante ◽  
Long Run Equilibrium

Drawing on the empirical evidence that heterogeneity in inflation expectations is persistent and endogenously time-varying, we embed two inflation forecasting strategies—one based on costly ex ante perfect foresight, and the second based on costless ex ante extrapolative trend-following—in a macrodynamic model. Drawing also on the empirical evidence that inflation forecast errors may have to exceed some threshold before agents abandon their previously selected forecasting strategy, we describe agents as switching between forecasting strategies according to evolutionarily satisficing learning. Convergence to a long-run equilibrium consistent with output growth, unemployment and inflation at their natural levels may be achieved even if heterogeneity in inflation forecasting strategies (with predominance of the extrapolative foresight strategy) is an attractor of an evolutionarily satisficing dynamic perturbed by mutant agents. Thus, in keeping with the empirical evidence, heterogeneity in strategies to form inflation expectations (with prevalence of bounded rationality) can be a stable long-run equilibrium.

scholarly journals INTRODUCTION TO MACROECONOMIC DYNAMICS SPECIAL ISSUE: INEQUALITY

2008 ◽  
Vol 12 (S2) ◽  
pp. 149-153 ◽  
Author(s):  
Robert M. Townsend
Keyword(s):  
Poverty Reduction ◽  
Developing Economies ◽  
Skewed Distribution ◽  
Time Varying ◽  
Special Issue ◽  
Macroeconomic Dynamics ◽  
Distribution Of Wealth ◽  
Growth Stability ◽  
The One ◽  
Macroeconomic Growth

This special issue features inequality. This is a subject that rightly draws immediate attention from both the profession and the popular press. The numbers themselves are intrinsically interesting, if not disturbing. There is, on the one hand, great variety in the distribution of earnings and an enormously right-skewed distribution of wealth. On the other hand, there is absolute and relative poverty. In developing countries there are extremes coexisting on both ends of the distribution. But developing economies also feature growth with time-varying levels of inequality. Macroeconomic growth, stability, and social policies seem correlated with poverty reduction in some instances.

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