Zusammenfassung
Die empirische Makroökonomik hat sich in den letzten 15 Jahren stark gewandelt. Dieser Sachverhalt kann am einfachsten ersichtlich gemacht werden, wenn wir uns den ökonometrischen Rahmen empirischer, makroökonomischer Analysen der 60er und 70er Jahre in Erinnerung rufen. Die damaligen Untersuchungen wurden in der Regel im Rahmen struktureller Modelle durchgeführt. Dabei wurden spezifische, makroökonomische Hypothesen im Rahmen einzelner Verhaltensgleichungen separat überprüft und entsprechende Modelle mit Niveauzeitreihen geschätzt. Mit den zu einem Gesamtmodell zusammengefügten Einzelgleichungen wurden dann dynamische Multiplikatoren berechnet, die die Reaktion der endogenen Größen auf Veränderungen der exogenen Variablen aufzeigten. Die in diesem Zusammenhang konstruierten Modelle waren zum Teil sehr komplex, d. h. sie umfaßten viele Gleichungen mit nichtlinearen Verknüpfungen der Variablen. Derartige Analysen sind in der akademischen Literatur zur empirischen Makroökonomik heute kaum mehr anzutreffen. An die Stelle von Regressionsgleichungen mit einer bestimmten Kausalinterpretation sind oft Gleichgewichtsbeziehungen aus intertemporalen Optimierungsbedingungen (sogenannte Eulergleichungen) getreten. So wird beispielsweise nicht mehr eine Konsumfunktion, sondern eine aus der intertemporalen Nutzenmaximierung der Haushalte sich ergebende Beziehung zwischen laufendem und verzögertem Konsum sowie Realzinssatz geschätzt. Als eine erste Anwendung dieses Ansatzes ist die Arbeit von R. E. Hall (1978) zu erwähnen.
Der Verfasser dankt den Herausgebern, einem anonymen Gutachter sowie C. T. Hsu für wertvolle Hinweise und Kommentare.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Literaturverzeichnis
Ardeni, P. G. und Lubian, D. (1991), Is There Trend Reversion Purchasing Power Parity?, European Economic Review, 35, 1035–1055
Baillie, R. T. (1987), Inference in Dynamic Models Containing “Suprise” Variables, Journal of Econometrics, 35, 101–17
Baillie, R. und Seiover, D. (1987), Cointegration and Models of Exchange Rate Determination, International Journal of Forecasting; 3, 43–53
Bayoumi, T. und Eichengreen, B. (1992), Shocking Aspects of European Monetary Unification, NBER Working Paper No. 3949
Bernanke, B. S. (1986), Alternative Explanations of the Money-Income Correlation, Carnegie-Rochester Conference Series on Public Policy, 25, 49–100
Beveridge, S. und Nelson, C. R. (1981), A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the “Business Cycle”, Journal of Monetary Economics, 7, 151–174
Blanchard, O. J. und Quah, D. (1989), The Dynamic Effects of Aggregate Supply and Demand Disturbances, American Economic Review, 79, 65–77
Blanchard, O. J. und Watson, M. W. (1986), Are Business Cycles All Alike, in Gordon R. J. (Hrsg.) The American Business Cycle, Chicago University of Chicago Press
Blough, S. R. (1988), On the Impossibility of Testing for Unit Roots and Cointegration in Finite Samples, Working Paper No. 211, Johns Hopkins University
Box, G. E. P. und Jenkins G. M. (1976), Time Series Analysis: Forecasting and Control, revidierte Ausgabe, Holden-Day, Oakland, California
Brock, W. A. und Sayers, C. L. (1988), Is the Business Cycle Characterized by Deterministic Chaos, Journal of Monetary Economics, 22, 71–90
Campbell, J. Y. (1987), Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis, Econometrica, 55, 1249–1273
Campbell, J. Y. und Mankiw, N. G. (1987), Are Output Fluctuations Transitory?, Quarterly Journal of Economics, 102, 857–880
Campbell, J. Y., und Shiller, R. J. (1987), Cointegration and Tests of Present Value Models, Journal of Political Economy, 95, 1062–1088
Campbell, J. Y., und Shiller, R. J. (1988), Interpreting Cointegrated Models, Journal of Economic Dynamics and Control, 12, 502–522
Campbell, J., Y., und Perron, P. (1991), Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots, NBER Macroeconomics Annual, Cambridge, Mass.: MIT Press
Christiano, L. J. und Eichenbaum, M. (1990), Unit Roots in Real GNP: Do We Know, and Do We Care? Carnegie Rochester Conference Series, 32, 7–62
Christiano, L. J., und Ljungqvist, L. (1988), Money Does Granger-Cause Output in the Bivariate Money-Output Relation, Journal of Monetary Economics, 22, 217–35
Clark, P. K. (1987), The Cyclical Component of U.S. Economic Activity, Quarterly Journal of Economics, 102, 798–814
Cochrane, J. H. (1988), How Big is the Random Walk in GNP?, Journal of Political Economy, 96, 893–920
Cochrane, J. H. (1990), Univariate versus Multivariate Forecasts of GNP Growth and Stock Returns: Evidence and Implications for the Persistence of Stocks, Detrending Methods, and Tests of the Permanent Income Hypothesis, NBER Working Paper No. 3427
Cochrane, J. H. (1991), A Critique of the Application of Unit Root Tests, Journal of Economic Dynamics and Control, 15, 275–284
Cochrane, J. H. (1991a), Comment, NBER Macroeconomics Annual, Cambridge, Mass. MIT Press
Cochrane, J. H. (1994), Shocks, NBER Working Paper No. 4698
Cogley, T. (1990), International Evidence on the Size of the Random Walk, Journal of Political Economy, 98, 501–517
Cooley, T. J. und LeRoy, S. F. (1985), Atheoretical Macroeconometrics. A Critique, Journal of Monetary Economics, 16, 283–308
Corbae, D. und Ouliaris, S. (1988), Cointegration and Tests of Purchasing Power Parity, The Review of Economics and Statistics, 70, 508–511
Cuddington, J. T. (1980), Simultaneous Equation Test of the Natural Rate and Other Classical Hypotheses, Journal of Political Economy, 88, 549–559
Davidson, J. E. H., D. F. Hendry, F. Srba, und S. Yea (1978), Econometric Modelling of the Aggregate Time-Series Relationship between Consumer’s Expenditure and Income in the United Kingdom, Economic Journal, 88, 661–692
DeJong, D. N. und Whiteman, C. H. (1991), Reconsidering Trends and Random Walks in Macroeconomic Time Series, Journal of Monetary Economics, 28, 221–254
Dickey, D. A. und Fuller, W. A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, 1057–1072
Doan, T. A., Litterman, R. B. und Sims, C. (1984), Forecasting and Conditional Projection Using Realistic Prior Distributions, Econometric Reviews, 3, 1–100
Eichenbaum, M. S., Hansen, L. P. und Singleton, K. J. (1986), A Time-Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty, Working paper no. 1981 ( NBER, Cambridge, MA )
Eichenbaum, M., und Singleton, K. J. (1986), Do Equilibrium Real Business Cycle Theories Explain Postwar U.S. Business Cycles?, NBER Macroeconomics Annual, 91–135
Engle, R. F. und Granger, C. W. J. (1987), Co-Integration and Error Correction: Representation, Estimation and Testing, Econometrica, 55, No. 2, 251–276
Engle, R. F. und Kozicki, S. (1993), Testing for Common Features, Journal of Business and Economic Statistics, 11, 369–395
Engle, R. F. und Yoo, B. S. (1987), Forecasting and Testing in Cointegrated Systems, Journal of Econometrics, 35, 143–159
Fair, R. C. und J. B. Taylor (1983), Solution and Maximum Likelihood Estimation of Dynamic Rational Expectations Models, Econometrica, 51
Feige, E. L., und Pearce, D. K. (1979), The Casual Causal Relationship between Money and Income: Some Caveats for Time Series Analysis, Review of Economics and Statistics 61, 521–33
Flavin, M. A. (1981), The Adjustment of Consumption to Changing Expectations about Future Income, Journal of Political Economy, 89, 974–1009
Friedman, B. M. und Kuttner, K. N. (1990), Money, Income, Prices and Interest Rates after the 1980’s. Mimeo, Harvard University
Fuller, W. A. (1976), Introduction to Statistical Time Series, Wiley and Sons, New York
Giannini, C. (1992), Topics in Structural VAR Econometrics, Springer, New York
Gourieroux, C. und Peaucelle, I. (1989), Detecting a Long Run Relationship (With an Applicatin to the P.P.P. Hypothesis), CEPREMAP, Working Paper 8902
Granger, C. W. J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica, 37, 424–38
Granger, C. W. J. (1981), Some Properties of Time Series Data and Their Use in Econometric Model Specification, Journal of Econometrics, 16, 121–130
Granger, C. W. J. und Newbold, P. (1974), Spurious Regressions in Econometrics, Journal of Econometrics, 2, 111–120
Granger, C. W. J. und Weiss, A. A. (1983), Time Series Analysis of Error-Correcting Models, Karlin S., Amemiya T. und Goodman (Hrsg.), Studies in Econometrics, Time Series and Multivariate Statistics, 255–278, New York, Academic Press
Hafer, R. W. und Jansen, D. W. (1991), The Demand for Money in the United States: Evidence from Cointegration Tests, Journal of Money, Credit, and Banking, 23, 155–68
Hall, R. E. (1978), Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence, Journal of Political Economy, 86, 971–987
Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press, Princeton, New Jersey
Hansen, L. P. (1982), Large Sample Properties of Generalized Method of Moments Estimators, Econometrica, 50, 1029–1954
Hansen, L. P. und Singleton, K. J. (1982), Generalized Instrumental Variables Estimation of Non-Linear Rational Expectations Models, Econometrica, 50, 1269–1286
Hoffman, D. L. und Rasche, R. H. (1991), Long-Run Income and Interest Elasticities of Money Demand in the United States, Review of Economics and Statistics, 78, 665–74
Johansen, S. (1988), Statistical Analysis of Cointegrating Vectors, Journal of Economic Dynamics and Control, 12, 231–254
Johansen, S. und Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration — with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 169–210
Keating, J. W. (1990), Identifying VAR Models under Rational Expectations, Journal of Monetary Economics, 25, 453–76
Kim, Y. (1990), Purchasing Power Parity in the Long Run: A Cointegration Approach, Journal of Money, Credit, and Banking, 12, 491–503
King, R. G., Plosser, C. I. und Rebelo, S. T. (1988), Production, Growth and Business Cycles: The Basic Neoclassical Model, Journal of Monetary Economics, 21, 195–232
King, R. G., Plosser, C. I., Stock, J. H. und Watson, H. W. (1991), Stochastic Trends and Economic Fluctuations, The American Economic Review, 81, 819–840
Kugler, P. (1982), Testing Real Variables Exogeneity: Some Results for Six European Countries, Statistische Hefte, 23, 2–11
Kugler, P. (1982a), The Dynamic Relationship Between Interest Rates and Inflation: An Empirical Investigation, Empirical Economics, 7, 125–137
Kugler, P. (1990), Transitory Consumption, Durability and Different Approaches to the Life Cycle Model, Economics Letters, 33, 109–114
Kugler, P. (1990a), The Term Structure of Euro Interest Rates and Rational Expectations, Journal of International Money and Finance, 9, 234–244
Kugler, P. (1992), The Relative Importance of Demand and Supply Shocks: Some International Evidence, Empirical Economics, 17, 523–535
Kugler, P. und Neusser, K. (1993), International Real Interest Rate Equalization: A Multivariate Time Series Approach, Journal of Applied Econometrics, 8, 163–174
Kugler, P. und Lenz, C. (1993), Multivariate Cointegration Analysis and the Long-Run Validity of PPP, The Review of Economics and Statistics, 180–184
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. und Shin, Y. (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root, Journal of Econometrics, vol. 54 159–78
Kydland, F. E. und Prescott, E. C. (1982), Time to Build and Aggregate Fluctuations, Econometrica, 50, 1345–1370
Litterman, R. B. (1986), Forecasting with Bayesian Vector Autoregressions — Five Years of Experience, Journal of Business and Economic Statistics, 4, Nr. 1, 25–38
Lo, A. W. und McKinlay, A. C. (1989), The Size and Power of the Variance Ratio Test in Finite Samples. A Monte Carlo Investigation, Journal of Econometrics, 40, 203–238
Lucas, R. E. (1973), Some International Evidence on Output-Inflation Tradeoffs, American Economic Review, 63, 326–334
Lucas, R. E. (1976), Econometric Policy Evaluation: A Critique, The Phillips Curve and Labor Markets, K. Brunner und A. H. Meitzer (Hrsg.), Amsterdam, North Holland, Carnegie-Rochester Conference Series No. 1
Lütkepohl, H. (1989), A Note on the Asymptotic Distribution of Impulse Response Functions of Estimated VAR Models with Orthogonal Residuals, Journal of Econometrics, 42, 371–76
Lütkepohl, H. (1990), Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models, Review of Economics and Statistics, 72, 116–25
Mankiw, N. G. (1982), Hall’s Consumption Hypothesis and Durable Goods, Journal of Monetary Economics, 23, 258–274
Mankiw, N. G. und M. D. Shapiro (1985), Trends, Random Walks, and Tests of the Permanent Income Hypothesis, Journal of Monetary Economics, 16, 165–174
Mankiw, N. G., J. J. Rotemberg und L. H. Summers (1985), Intertemporal Substitution in Macroeconomics, Quarterly Journal of Economics, 10, 225–251
Masson, P. R., Symansky, S. und Meredith, G. (1990), Multimod Mark II: A Revised and Extended Model, International Monetary Fund, Occasional Paper, No. 71 ( Washington; International Monetary Fund )
McCallum, B. T. (1986), On “Real” and “Sticky” Price Theories of the Business Cycle, Journal of Money, Credit and Banking, 18, 397–414
McCallum, B. T. (1993), Unit Roots in Macroeconomic Time Series: Some Critical Issues, Federal Reserve Bank of Richmond Economic Quarterly 79, 2, 13–43
Miron, J. A. (1991), Comment, NBER Macroeconomics Annual, Cambridge ( MA ), MIT Press, 211–218
Monfort, A. und Rabemananjara, R. (1990), From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral, Journal of Applied Econometrics, 5, 203–227
Nelson, C. R. und Plosser, C. I. (1982), Trends and Random Walks in Macroeconomic Time Series, Journal of Monetary Economics, 10, 139–162
Park, J. Y. und P. C. B. Phillips (1989), Statistical Inference in Regressions with Integrated Processes: Part 2. Econometric Theory, 5, 95–131
Perron P. (1989), The Great Crash, The Oil Price Shock, and the Unit Root Hypothesis, Econometrica, 57, No. 6, 1361–1401
Phillips, P. C. B. (1987), Time Series Regression with a Unit Root, Econometrica, 55, 271–301
Phillips, P. C. B. und Perron, P. (1988), Testing for a Unit Root in Time Series Regression, Biometrika, 75, 335–345
Phillips, P. C. B., und Ouliaris, S. (1990), Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, 58, 165–193
Pierce, D. A. und Haugh, L. D. (1977), Causality in Temporal Systems: Characterizations and a Survey, Journal of Econometrics, 5, 265–293
Quah, D. (1992), The Relative Importance of Permanent and Transitory Components: Identification and some Theoretical Bounds, Econometrica, 60, 107–118
Rappoport, P. und Reichlin, L. (1989), Segmented Trends and Nonstationary Time Series, The Economic Journal, 395, 168–177
Runkle, D. E. (1987), Vector Autoregressions and Reality, Journal of Business and Economic Statistics, 5, No. 4, 437–442
Sargan, J. P. (1964), Wages and Prices in the UK: A Study in Econometric Methodology, in Hart P. E., Mill. J. and Whittaker, P. (Hrsg.), Econometric Analysis in Economic Planing, London, Buttersworth.
Sargent, T. J. (1976), A Classical Macroeconometric Model of the United States, Journal of Political Economy, 84, 207–37
Shapiro, M. D. und Watson, M. W. (1988), Sources of Business Cycle Fluctuations, NBER Macroeconomic Annual 3, 108–148
Sims, C. A. (1972), Money, Income, and Causality, American Economic Review, 62, 540–552
Sims, C. A. (1980), Macroeconomics and Reality, Econometrica, 48, 1–47
Sims, C. A. (1986), Are Forecasting Models Usable for Policy Analysis?, Quarterly Review of the Federal Reserve Bank of Minneapolis, 2–16
Sims, C. A. (1980a), Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered, American Economic Review, 70, 250–257
Sims, C. A., Stock, J. H. und Watson, M. W. (1990), Inference in Linear Time Series Models with some Unit Roots, Econometrica, 58, No. 1, 113–144
Stock, J. H. (1987), Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors, Econometrica, 55, 1035–1056
Stock, J. H. (1991), Confidence Intervals for the Largest Autoregressive Root in U.S. Macroeconomic Time Series, Journal of Monetary Economics, 28, 435–451
Stock J. H. und Watson, M. W. (1988), Variable Trends in Economic Time Series, Journal of Economic Perspectives, 2, No. 3, 147–174
Stock, J. H. und Watson, M. W. (1988a), Testing for Common Trends, Journal of the American Statistical Association, 83, No. 404, 1097–1107
Stock, J. H., und Watson, M. W. (1989), Interpreting the Evidence on Money-Income Causality, Journal of Econometrics, 40, 161–182
Taylor, M. P. (1988), An Empirical Analysis of Long-Run Purchasing Power Parity Using Cointegration Techniques, Applied Economics 20, 1369–1381
Vahid, F. und Engle, R. F. (1993), Nön-Synchroneous Common Cycles, University of California San Diego, Discussion Paper, 93–55
Wallis, K. F. (1980), Econometric Implications of the Rational Expectations Hypothesis, Econometrica, 48, 49–73
Watson, M. W. (1986), Univariate Detrending Methods with Stochastic Trends, Journal of Monetary Economics, 18, 1–27
West, K. D. (1988), On the Interpretation of the Near Random-Walk Behaviour in GNP. American Economic Review, 78, 202–211
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1996 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Kugler, P. (1996). Empirische Makroökonomik. In: von Hagen, J., Börsch-Supan, A., Welfens, P.J.J. (eds) Springers Handbuch der Volkswirtschaftslehre 1. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-61466-8_9
Download citation
DOI: https://doi.org/10.1007/978-3-642-61466-8_9
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-61263-6
Online ISBN: 978-3-642-61466-8
eBook Packages: Springer Book Archive