Disequilibrium macroeconometrics

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Standard

Disequilibrium macroeconometrics. / Juselius, Katarina.

I: Industrial and Corporate Change, Bind 30, Nr. 2, 04.2021, s. 357-376.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Juselius, K 2021, 'Disequilibrium macroeconometrics', Industrial and Corporate Change, bind 30, nr. 2, s. 357-376. https://doi.org/10.1093/icc/dtab029

APA

Juselius, K. (2021). Disequilibrium macroeconometrics. Industrial and Corporate Change, 30(2), 357-376. https://doi.org/10.1093/icc/dtab029

Vancouver

Juselius K. Disequilibrium macroeconometrics. Industrial and Corporate Change. 2021 apr.;30(2):357-376. https://doi.org/10.1093/icc/dtab029

Author

Juselius, Katarina. / Disequilibrium macroeconometrics. I: Industrial and Corporate Change. 2021 ; Bind 30, Nr. 2. s. 357-376.

Bibtex

@article{04fa24edf3e64b62a820245399983a01,
title = "Disequilibrium macroeconometrics",
abstract = "Inspired by the paper by Guzman and Stiglitz (2020, {\textquoteleft}Towards a dynamic disequilibrium theory with randomness,{\textquoteright} NBER Working Paper 27453), this article shows that cointegrated VAR (CVAR) analyses have for many years provided empirical underpinnings for most of the topics discussed in that paper. The CVAR takes the nonstationarity of economic data seriously; it allows explicitly for complex adjustment dynamics in the short run and the long run; it is able to describe self-reinforcing feedback mechanisms leading to multiple equilibria; it is able to handle extraordinary shocks to the system whether they are exogenously or endogenously induced; and it is able to accommodate sizeable crisis periods such as the Great Recession. The article discusses these issues and many more from a methodological, econometric, and empirical point of view and illustrates the ideas with an application to the Phillips curve with a Phelpsian natural rate based on US data.",
author = "Katarina Juselius",
year = "2021",
month = apr,
doi = "10.1093/icc/dtab029",
language = "English",
volume = "30",
pages = "357--376",
journal = "Industrial and Corporate Change",
issn = "0960-6491",
publisher = "Oxford University Press",
number = "2",

}

RIS

TY - JOUR

T1 - Disequilibrium macroeconometrics

AU - Juselius, Katarina

PY - 2021/4

Y1 - 2021/4

N2 - Inspired by the paper by Guzman and Stiglitz (2020, ‘Towards a dynamic disequilibrium theory with randomness,’ NBER Working Paper 27453), this article shows that cointegrated VAR (CVAR) analyses have for many years provided empirical underpinnings for most of the topics discussed in that paper. The CVAR takes the nonstationarity of economic data seriously; it allows explicitly for complex adjustment dynamics in the short run and the long run; it is able to describe self-reinforcing feedback mechanisms leading to multiple equilibria; it is able to handle extraordinary shocks to the system whether they are exogenously or endogenously induced; and it is able to accommodate sizeable crisis periods such as the Great Recession. The article discusses these issues and many more from a methodological, econometric, and empirical point of view and illustrates the ideas with an application to the Phillips curve with a Phelpsian natural rate based on US data.

AB - Inspired by the paper by Guzman and Stiglitz (2020, ‘Towards a dynamic disequilibrium theory with randomness,’ NBER Working Paper 27453), this article shows that cointegrated VAR (CVAR) analyses have for many years provided empirical underpinnings for most of the topics discussed in that paper. The CVAR takes the nonstationarity of economic data seriously; it allows explicitly for complex adjustment dynamics in the short run and the long run; it is able to describe self-reinforcing feedback mechanisms leading to multiple equilibria; it is able to handle extraordinary shocks to the system whether they are exogenously or endogenously induced; and it is able to accommodate sizeable crisis periods such as the Great Recession. The article discusses these issues and many more from a methodological, econometric, and empirical point of view and illustrates the ideas with an application to the Phillips curve with a Phelpsian natural rate based on US data.

U2 - 10.1093/icc/dtab029

DO - 10.1093/icc/dtab029

M3 - Journal article

VL - 30

SP - 357

EP - 376

JO - Industrial and Corporate Change

JF - Industrial and Corporate Change

SN - 0960-6491

IS - 2

ER -

ID: 291127864