Structural Vector Autoregressions (SVARs) have become one of the major ways of extracting information about the macro economy. One might cite three major uses of them in macro-econometric research. 1. For quantifying impulse responses to macroeconomic shocks. 2. For measuring the degree of...

We use an expectation-augmented SVAR representation of an open economy New Keynesian model to study monetary transmission in Brazil and Chile. The underlying structural model incorporates key structural features of Emerging Market economies, notably the role of a bank-credit channel. We find...

The paper looks at the development of macroeconometric models over the past sixty years. In particular those that have been used for analysing policy options. We argue that there have been four generations of these. Each generation has evolved new features that have been partly drawn from the...

This paper considers VAR/VECM models for variables exhibiting cointegration and common features in the transitory components. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction in the short-run dynamics....

We advance the proposition that dynamic stochastic general equilibrium (DSGE) models should not only be estimated and evaluated with full information methods. These require that the complete system of equations be specified properly. Some limited information analysis, which focuses upon specific...

Macroeconomics has a long tradition of inspecting and interpreting patterns in graphs of aggregate data. However, the move towards more precise quantification of macroeconomic phenomena has seen academics shift away from a study of turning points, which are a natural and obvious way of...

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