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P* type models: Evaluation and forecasts

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Author Info

  • Pecchenino, R. A.
  • Rasche, Robert H.

Abstract

This paper critically evaluates the Federal Reserve's p* model of inflation, and develops a model of national income determination implicit in the p* formulation. We use this model to forecast the future paths of key macroeconomic variables and investigate its behavior under a variety of deterministic monetary policy rules. These forecasts and policy simulations suggest a dynamic economic behavior inconsistent with stylized facts, and lead us to question the underlying structure of the p* formulation.

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File URL: http://www.sciencedirect.com/science/article/B6V92-45NBB2X-3G/2/50eb4dd1d0249f6991779b1f6729bfcf
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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 6 (1990)
Issue (Month): 3 (October)
Pages: 421-440

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Handle: RePEc:eee:intfor:v:6:y:1990:i:3:p:421-440

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Web page: http://www.elsevier.com/locate/ijforecast

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Cited by:
  1. Martin Feldstein & James H. Stock, 1994. "The Use of a Monetary Aggregate to Target Nominal GDP," NBER Chapters, in: Monetary Policy, pages 7-69 National Bureau of Economic Research, Inc.
  2. John A. Tatom, 1990. "The link between monetary aggregates and prices," Working Papers 1990-002, Federal Reserve Bank of St. Louis.
  3. Jeffrey J. Hallman & Richard G. Anderson, 1993. "Has the long-run velocity of M2 shifted? Evidence from the P* model," Economic Review, Federal Reserve Bank of Cleveland, issue Q I, pages 14-26.
  4. Karl-Heinz Tödter & Hans-Eggert Reimers, 1994. "P-Star as a link between money and prices in Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(2), pages 273-289, June.
  5. John A. Tatom, 1990. "The P-star approach to the link between money and prices," Working Papers 1990-008, Federal Reserve Bank of St. Louis.
  6. Atta-Mensah, J, 1996. "A Modified P*-Model of Inflation Based on M1," Working Papers 96-15, Bank of Canada.

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