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:	Publisher
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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