کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5055741 1371499 2009 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
EMU and the Lucas Critique
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
EMU and the Lucas Critique
چکیده انگلیسی

This paper attempts to provide a systematic review of the implications of EMU for the Lucas Critique. It asks how well cointegrating vector autoregressions estimated on pre-Euro data forecast post-Euro data, relative to their pre-Euro standard error. This is done for the Euro area as a whole, 3 countries that joined and 3 European countries that did not join. If the Lucas Critique is important, the forecasts should be much worse, because the policy change, EMU which changed exchange rate and interest rate determination processes, should have changed the parameters of the estimated models. The models appear to forecast very well and EMU does not appear to have induced structural change, indicating that the Lucas Critique does not seem to be important in this case.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 26, Issue 4, July 2009, Pages 744-750
نویسندگان
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