Analizie poddano modele ekonometryczne z parametrami generowanymi przez niestacjonarny proces stochastyczny. Przedstawiono i omówiono trzy konstrukcje (model Cooleya-Prescotta model ze zbieżnymi parametrami Rosenberga, oraz model z filtrami Kalmana). Podano obszerną listę...

Many macroeconometric models are built to understand business cycles and (possibly) to predict recessions. But the methods applied to assess them are rarely of the form that one learns either whether they provide a good explanation of cycle characteristics or whether they can predict recessions....

This paper considers structural models when both I(1) and I(0) variables are present. It is necessary to extend the traditional classification of shocks into permanent and transitory and we do this by introducing a mixed shock. The extra shocks coming from introducing I(0) variables into a...

Modele te zbudowano z myślą o ich wykorzystaniu do celów prognozowania na długie okresy, ze względu jednak na rozległość zagadnienia, ograniczę się tutaj do ,zaprezentowania samych modeli odsyłając czytelnika zainteresowanego prognozowaniem do artykułów autora.These models are...

Macro Models are a series of free Apps available in App Store, and they work with Ipads. Each App simulates a specific macroeconomic model and presents both the static and the dynamic results. The first five Apps developed and published are: the Income-Expenditure model in three versions (I, II...

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...

In this paper we review the evolution of macroeconomic modelling in a policy environment that took place over the past sixty years. We identify and characterize four generations of macro models. Particular attention is paid to the fourth generation - dynamic stochastic general equilibrium...

We study a model of endogenous growth where firms invest both in product and process innovations. Product innovations (that open up completely new product lines) satisfy the advanced wants of the rich. Subsequent process innovations (that decrease costs per unit of quality) transform the...

This paper presents the main features of the macroeconomic model being used at The Levy Economics Institute of Bard College, which has proven to be a useful tool in tracking the current financial and economic crisis. We investigate the connections of the model to the “New Cambridge”...