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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: | 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 |
| Related URLs: | |
| 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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