Suchergebnisse

ABSTRACTThe plethora of limited information estimation methods applied to expectations models are presented within a coherent framework based on standard econometric estimators. It is then possible to isolate those problems that arise solely because of the inclusion of expectations variables. The relationship between the economic solution of RE models and the appropriate choice of estimator is examined.

SummaryOur final comments can be relatively brief. In assessing the empirical importance of expectations variables in macroeconomic behavioural equations, a variety of "expectations models" should be used. To date, the Muth‐rational expectations approach has dominated the empirical literature. A major drawback, however, is the lack of an explicit optimal learning process by agents. We have attempted to remedy this by bringing together various diverse strands in the expectations, statistics and engineering literature to formalize models that embody "optimal information extraction" by agents faced with a stochastic environment. The Khan filter provides a unified method of approaching these problems and in this paper we presented the Kalman filter in terms of the usual least squares approach familiar to applied economists. Relatively inexpensive econometric software which utilizes recursive estimation techniques has recently become available. It is hoped that this paper has provided a framework favourable to its use by applied economists particularly in investigating the role of expectations variables in economic models.

"New measures" to aid monetary control introduced by the Bank of England in August 1981 are assessed with reference to the monetary base and "flow of funds" models of banking behaviour. Both models are found to be deficient in analysing the supply of "broad" money. However, theories of the banking firm highlight some problems in controlling a broad monetary aggregate. The "new measures" are viewed as a cautious approach to achieve greater flexibility in short‐term interest rates and to minimise the scope for disintermediation and hence are an improvement on previous arrangements for monetary control.

This article presents some alternative models of consumers' expenditure on durable goods and examines some general issues of econometric model building. In the preferred model, income, the change in liquid assets and the real cost of credit have a substantial effect on durables expenditure. Hence, both fiscal policy instruments such as a change in the rate of income tax and monetary variables such as nominal interest rates and sterling M3 influence durables expenditure.