Quantitative economic policy : essays in honour of Andrew Hughes Hallett / Reinhard Neck, Christian Richter, Peter Mooslechner, editors.

Format:

Book

Contributor:

Hughes Hallett, Andrew.

Neck, Reinhard.

Richter, Christian, 1968-

Mooslechner, Peter.

Series:

Advances in computational economics ; 20.

Advances in computational economics ; 20

Language:

English

Subjects (All):

Economic policy--Mathematical models.

Economic policy.

Econometrics.

Economic development--Mathematical models.

Economic development.

Monetary policy--Europe.

Monetary policy.

Europe.

Genre:

Festschriften.

Physical Description:

xviii, 376 pages : illustrations ; 24 cm.

Edition:

First edition.

Place of Publication:

New York, NY : Springer, [2008]

Summary:

Quantitative economic policy and econometrics were developed along with macroeconomics in the 1930s. Econometric techniques and models are still being used extensively in the business of forecasting and policy advice. In particular, policy simulations with econometric models have become standard tools for evaluating and designing macroeconomic stabilization policies. For instance, such studies provided important arguments for the popularization of the recent steps towards European integration such as the European Single Market, the European Monetary Union, and the Enlargement of the European Union. In this book, some recent advances in the theory and applications of quantitative economic policy are presented, with particular emphasis on fiscal and monetary policies in a European and global context. Andrew Hughes Hallett, a pioneer and major scientist in quantitative economic policy analysis, is being honoured by this volume, whose contributors are among his friends and former students.

Contents:

Quantitative Economic Policy - Theory and Applications: Introduction and Overview / Reinhard Neck, Christian Richter, Peter Mooslechner 1

1 Andrew Hughes Hallett at sixty 1

2 The theory of quantitative economic policy and its applications 2

3 The challenge of policy coordination in the EMU and beyond 4

4 Overview of the contributions to the Festschrift 8

Theory of Quantitative Economic Policy

Towards a New Theory of Economic Policy: Continuity and Innovation / Nicola Acocella, Giovanni Di Bartolomeo 15

2 The Tinbergen-Theil approach and the Lucas critique 16

2.1 The classical approach to the theory of economic policy 16

2.2 Critique of the classical theory of economic policy 18

2.3 Policy games and the neutrality proposition 18

3 Towards a "new" theory 20

3.1 Two fundamental propositions 20

3.2 Extensions 22

A.1 The static case 24

A.2 The dynamic case 27

If the Representative Agent is Used, Should He Be Believed? Aggregation, Welfare and the Role of Microfoundations in Quantitative Economic Policy / John Lewis 35

2 Unrealistic assumptions in economics 37

3 Assumption creep 41

4 The problem of appraisal 44

Time Consistency, Subgame Perfectness, Solution Concepts and Information Patterns in Dynamic Models of Stabilization Policies / Engelbert J. Dockner, Reinhard Neck 51

2 The analytical framework 52

2.1 A dynamic model of decentralized stabilization policies 52

2.2 Solution concepts and properties of equilibrium solutions 57

3 Open-loop equilibrium solutions 65

3.1 The open-loop Nash equilibrium solution 65

3.2 The open-loop Stackelberg equilibrium solution 66

3.3 (Open-loop) Pareto solutions 69

4 Feedback equilibrium solutions 72

4.1 The feedback Nash equilibrium solution 72

4.2 The feedback Stackelberg equilibrium solution 75

4.3 Some remarks on the "Cohen-Michel solution" 76

5 A numerical example 78

A.1 Proof of Theorem 1 83

A.2 Proof of Theorem 2 87

A.3 Proof of Theorem 3 92

A.4 Proof of Theorem 5 94

A.5 Proof of Theorem 6 96

A.6 Proof of Theorem 7 97

Models of Endogenous Coalition Formation Between Fiscal and Monetary Authorities in the Presence of a Monetary Union / Tomasz Michalak, Jacob Engwerda, Joseph Plasmans, Bas van Aarle, Giovanni Di Bartolomeo 103

2 Basic definitions and notation 105

2.1 Per-membership partition function 107

2.2 Externalities from coalition formation 108

3 Simultaneous games - MU setting 109

3.1 Open-membership game 109

3.2 Restricted open-membership game 111

3.3 Exclusive-membership game for an MU 112

3.4 Relations between the OMG(MU), the ROMG(MU) and the EMG(MU) 114

4 Sequential negotiation game 114

5 Social optimum and indices 117

6 Aspects of policy coordination in EMU 119

7 The basic economic framework 122

8 Numerical solutions of the model 123

8.1 Symmetric baseline model 124

8.2 Structural asymmetric setting 131

Fiscal Policy

Fiscal Federalism, Risk Sharing and the Persistence of Shocks / Scott Davis 137

2 The model 140

2.1 Preferences 141

2.2 Production technology 141

2.3 Resource constraints 142

2.4 Shock process 144

3 The results 145

3.1 Consumption volatility arising from output volatility 145

3.2 Pass through of output fluctuations to fluctuations in consumption 148

Debating Fiscal Federalism in EMU: Plus ca change / Maria Demertzis 157

2 Using the fiscal instrument 158

2.1 Stylised facts on the role of debt 158

2.2 Monetary and fiscal interdependencies 158

3 Describing fiscal federalism 160

3.1 Fiscal federalism in the US 161

3.2 How appropriate is the US as a yardstick of comparison for EMU? 168

4 Lessons for Europe 170

4.1 The role of fiscal policy in EMU 170

4.2 Is a "balanced-budget" rule feasible for Europe? 173

4.3 Does a single currency require fiscal federalism? 173

4.4 Fiscal federalism and EMU 175

A.1 The balanced-budget rule in the US 180

A.2 Data sources 181

A Common Election Day for Euro-Zone Member States? / Fritz Breuss 185

2 Empirical implications of models of politico-economic cycles 186

2.1 The theoretical models 187

2.2 Empirical results 192

3 The costs and benefits of a common election day in EMU 198

3.1 A Politico-economic model for the Euro-zone 198

3.2 Simulation results 200

Automatic Stabilisers and Budget Rules / Torben M. Andersen, Svend E. Hougaard Jensen 209

2 The "consensus view" on fiscal policy design 210

3 Persistence in business cycle fluctuations 211

4 Diversification of temporary and persistent shocks 213

5 No fiscal rules without discretion 217

Monetary Policy

Domestic and International Determinants of the Bank of England's Liquidity Ratios during the Classical Gold Standard, 1876-1913: An Econometric Analysis / Giuseppe Tullio, Jurgen Wolters 221

2 The model 223

3 Description of the data used for estimation 225

4 The determinants of changes in the Bank of England's liquidity ratios 228

5 Summary of main results and conclusions 237

On the Transmission Mechanism of Monetary Policy / Christian Richter 241

2 A technical introduction to time-frequency analysis 242

3 Empirical results 246

3.1 Germany 246

3.2 United States 249

3.3 The UK 251

3.4 France 253

Appendix 1 Short-time Fourier transform 256

From the EMS to EMU: Has There Been Any Change in the Behaviour of Exchange Rate Correlation? / Xiao-Ming Li 261

2 Econometric methodology 264

3 Empirical results 266

Optimum Monetary Policy during Monetary Union Enlargement / Ali Sina Onder 275

1 Introduction: review and motivation 275

2 The model 277

2.1 Assumptions and basics 277

2.2 Preferences 277

2.3 Supply side 279

2.4 Demand 279

2.5 First order conditions 280

3 Optimal inflation targeting with inertia 281

3.1 Enlargement of the currency union: observations and mechanics 284

3.2 Optimal target under monetary shocks and productivity shocks 286

When the Dollar Falls / Simon Wren-Lewis 293

2 The FABEER model 294

3 Why the US deficit is so large 296

4 When the dollar falls: some projections and ready reckoners 300

Appendix The FABEER Model 306

Monetary Policy in a Small Open Economy with High Unemployment / Christopher Malikane, Willi Semmler 309

2 A monetary model with endogenous capacity rate of employment 312

3 Monetary policy rules 315

4 Estimation of the structural model 318

5 Monetary policy and macroeconomic performance 322

5.1 Evaluation of optimal policy rules 322

5.2 Simple policy rules for improved labor market performance 328

Uncertainties Surrounding Natural Rate Estimates in the G7 / Rod Cross, Julia Darby, Jonathan Ireland 337

2 Uncertainties regarding natural rates 339

3 Methodology 341

4 Estimated confidence intervals for the G7 342

4.1 Benchmark specifications 344

4.2 Specification search and our preferred specifications 348.

Notes:

Includes bibliographical references and index.

ISBN:

9783540746836

3540746838

OCLC:

191846749