The Predictive Power of the Index of Consumer Sentiment

consumer sentiment, predictive power, index of consumer sentiment, macroeconomics

The Measurement and Determination of Loanable-Funds Saving

macroeconomics, saving, capital formation, interest

Evaluating Alternative Monetary Policy Rules

This paper examines monetary policy from an optimal control perspective. Three loss functions are minimized for each of three models, and the results are compared. The three loss functions target nominal growth, real growth, and inflation, respectively. The three models are a small structural model, a VAR model, and a large structural model. A numerical procedure is presented that can handle a variety of loss functions and models

Exchange rate forecasts with the Michigan quarterly econometric model of the US economy

Gandolfo et al. [Journal of Banking and Finance 14 (1990) 965-992] have shown that their continuous time model of the Italian economy produces better ex post out-of-sample forecasts of the exchange rate than either existing structural or random-walk models. When the Michigan Quarterly Econometric Model is used, it is found that ex post out-of-sample forecasts of the trade-weighted value of the US dollar produced by the model are also superior to forecasts of a random-walk model. However, ex ante forecasts in which all the exogenous as well as the endogenous variables are forecast are less accurate than those produced by the random walk. The price of imported goods in foreign currency, an exogenous variable in both the Michigan and Italian econometric models, is the key variable in the Michigan model which explains the divergence of the ex ante and ex post forecasting results.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/31857/1/0000807.pd

The Michigan Quarterly Econometric Model of the U.S. Economy

https://deepblue.lib.umich.edu/bitstream/2027.42/154097/1/mqem1983.pd

Using mixed frequency data to improve macroeconomic forecasts of inventory investment

This paper briefly reviews and extends the evidence on the importance of inventory investment in business cycles. A method for combining high-frequency observations with forecasts of a conventional quarterly econometric model is then proposed. The method is applied to the Michigan Quarterly Econometric Model of the U.S. Economy to see if improved forecasts of inventory investment can be obtained. The use of a small set of monthly indicators is found to yield improved forecasts of real GNP but are of little help in forecasting inventory investment. A more comprehensive set of monthly indicators including inventory and sales may be needed to obtain improved estimates of quarterly inventory investment.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/30214/1/0000604.pd

Estimating the distributional impact of time-of-day pricing of electricity

We consider the general problem of recovering estimates of welfare measures such as willingness to pay, price indices, etc. from demand data with particular emphasis on the problem of unobserved taste variation across households. We model taste differences across households in a variance components framework and derive an iterative estimator for systems of demand equations with variance components which is relatively easy to compute. Finally we present an example of the methods we propose which involves time of day pricing of electricity. We are able to calculate the fraction of the population which would prefer such pricing policies to flat rate pricing.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/24703/1/0000124.pd

Activist policy and macroeconomic instability

This paper investigates the consequences of activist monetary policy in a small, aggregate macroeconomic model which embodies traditional hypotheses of price and output determination. It is shown that deterministic control problems with inflation and full employment as objectives may be solved, but multiple-target stochastic control problems will lead to instability in both the targets and the policy instrument.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/25350/1/0000797.pd