A long run structural macroeconometric model of the UK

• 成果类型: Article
• 署名作者: Garratt, A; Lee, K; Pesaran, MH; Shin, Y
• 署名单位: University of Leicester; University of Cambridge; University of Edinburgh
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/1468-0297.00131
• 发表日期: 2003
• 页码: 412-455
• 关键词: impulse-response analysis; real exchange-rate; time-series; monetary-policy; international evidence; stochastic trends; UNITED-STATES; cointegration; inflation; GROWTH

摘要

A new modelling strategy that provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1-1999q4 in nine variables: domestic and foreign outputs, prices and interest rates, oil prices, the nominal effective exchange rate, and real money balances. The aim is to develop a model with a transparent and theoretically coherent foundation. Tests of restrictions on the long-run relations of the model are presented. The dynamic properties of the model are discussed and monetary policy shocks identified.