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    P∗ type models: Evaluation and forecasts


    Pecchenino, Rowena A. and Rasche, Robert H. (1990) P∗ type models: Evaluation and forecasts. International Journal of Forecasting, 6 (3). pp. 421-440. ISSN 0169-2070

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    Abstract

    This paper critically evaluates the Federal Reserve's P∗ model of inflation, and develops a model of national income determination implicit in the P∗ formulation. We use this model to forecast the future paths of key macroeconomic variables and investigate its behavior under a variety of deterministic monetary policy rules. These forecasts and policy simulations suggest a dynamic economic behavior inconsistent with stylized facts, and lead us to question the underlying structure of the P∗ formulation.

    Item Type: Article
    Keywords: P∗; Cointegration; McCallum rule; M2 velocity;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 12809
    Identification Number: https://doi.org/10.1016/0169-2070(90)90068-M
    Depositing User: Prof. Rowena Pecchenino
    Date Deposited: 22 Apr 2020 11:22
    Journal or Publication Title: International Journal of Forecasting
    Publisher: Elsevier
    Refereed: Yes
    URI:

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