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Papers on Econometric Models

Licentiate thesis
Authors Evert Carlsson
Place of publication Göteborg
Publication year 2003
Published at Department of Economics
Language en
Keywords Macroeconometric; CIR; Options; Multicollinear; Inequality
Subject categories Economics

Abstract

Paper 1: Statistisk Tidskrift: The use of Macro-econometric models The first paper discusses the Gothenburg University Econometric System Study -GUESS model. The model was very dependent on the experience from the work on the STEP model of Ettlin and Lybeck. The model has its roots in a Keynesian tradition allowing for disequilibrium between supply and demand and the small open economy, with import prices set exogenously. Model evaluation is done primarily by how well the set of equations and identities can track the actual economy during simulation. The combination of nonlinearities, dynamics and disequilibrium properties gives the model multipliers that will vary over time and dependent on the capacity utilisation. Paper 2: Scandinavian Journal of Economics: A comparison of the dynamic properties of five Nordic macroeconometric models The second paper deals with the problem of comparing different econometric models in the Nordic countries. The models all have a Keynesian structure. Comparisons between models are arbitrary at best, since the models have been estimated on different sets of data in both time and space and with different objectives. However, we stress the dynamic properties of the models in a recession from changing policies in government consumption and devaluation, rather than forcasting ability. The results from government stimulus are similar across models but the effect on inflation from devaluation depends on how wage formation is modelled. Paper 3: European Economic Review: From small to large: A systematic comparison of gradually more complex econometric models The third paper also compares models, but now estimated on the same set of data with an increasing complexity in terms of adding disequilibrium effects, endogenous inflation, income-dependent transfers and a feed back interest rate formation. The sensitivity to policy changes is found to be very different between the models, making inferences about such policies very model dependent. Paper 4: Working paper: The Cox, Ingersoll and Ross model on Swedish treasuries The fourth paper deals with the applicability of the CIR model when estimating the term structure from bills and bonds. As in previous studies, there is a huge instability in parameter estimates between dates, when using daily cross-section data. Although the CIR model is frequently used for pricing across securities at a single time, lack of robustness in parameter estimates makes risk managers less prepared to use the model for hedgeing across time.

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