Global and National Macroeconometric Modelling: A Long-Run Structural Approach

This book provides a comprehensive description of the state-of-the-art in modelling global and national economies.

It introduces the long-run structural approach to modelling that can be readily adopted for use in understanding how economies work, and in generating forecasts for decision- and policy-makers.

The book contains a thorough description of recent developments in macroeconomics and econometrics, which should be of interest to advanced students and researchers, but is also written to be accessible and helpful to practitioners in government and the private sector.

The long-run structural approach is illustrated with various global and national examples, including a step-by-step description of the development and use of a model of the UK economy. Throughout, the book emphasises the use of macroeconometric modelling in the real world and is written in a way that ensures the techniques illustrated can be replicated or applied in new contexts. The transparency and pragmatism of the modelling approach used within this book will be attractive to practitioners who need manageable and interpretable models to answer specific questions.

Table of Contents

1. Introduction
2. Macroeconometric Modelling: Alternative Approaches
3. National and Global Structural Macroeconometric Modelling
4. An Economic Theory of the Long Run
5. An Economic Theory of the Short Run
6. Econometric Methods: A Review
7. Probability Forecasting: Concepts and Analysis
8. The UK Macroeconomy
9. A Long-Run Structural Model of the UK
10. Impulse Response and Trend/ Cycle Properties of the UK Model
11. Probability Event Forecasting with the UK Model
12. Global Modelling and Other Applications
13. Concluding Remarks

Appendix A: Derivation of the Interest Rate Rule

Appendix B: Invariance Properties of the Impulse Responses with respect to Monetary Policy Shocks

Appendix C: Data for the UK Model

Appendix D: Gauss Programs and Result Files

400 pages, Paperback

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GLOBAL AND NATIONAL MACROECONOMETRIC MODELLING

GARRATT A. LEE K. PESARAN M.H. YONGCHEOL SHIN

Global and National Macroeconometric Modelling: A Long-Run Structural Approach