IDEAS home Printed from https://ideas.repec.org/a/eee/intfor/v6y1990i3p421-440.html
   My bibliography  Save this article

P* type models: Evaluation and forecasts

Author

Listed:
  • 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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Pecchenino, R. A. & Rasche, Robert H., 1990. "P* type models: Evaluation and forecasts," International Journal of Forecasting, Elsevier, vol. 6(3), pages 421-440, October.
    • Handle: RePEc:eee:intfor:v:6:y:1990:i:3:p:421-440
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0169-2070(90)90068-M
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Christiano, Lawrence J. & Eichenbaum, Martin, 1990. "Unit roots in real GNP: Do we know, and do we care?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 7-61, January.
    2. Leonall C. Andersen & Keith M. Carlson, 1986. "A monetarist model for economic stabilization," Review, Federal Reserve Bank of St. Louis, issue Oct, pages 45-66.
    3. Milton Friedman & Anna J. Schwartz, 1963. "A Monetary History of the United States, 1867–1960," NBER Books, National Bureau of Economic Research, Inc, number frie63-1.
    4. John B. Carlson, 1989. "The indicator P-star: just what does it indicate?," Economic Commentary, Federal Reserve Bank of Cleveland, issue Sep.
    5. Jeffrey J. Hallman & Richard D. Porter & David H. Small, 1989. "M2 per unit of potential GNP as an anchor for the price level," Staff Studies 157, Board of Governors of the Federal Reserve System (U.S.).
    6. Mccallum, Bennet T., 1988. "Robustness properties of a rule for monetary policy," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 173-203, January.
    7. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    8. Braun, Steven N, 1990. "Estimation of Current-Quarter Gross National Product by Pooling Preliminary Labor-Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(3), pages 293-304, July.
    9. Gould, John P & Nelson, Charles R, 1974. "The Stochastic Structure of the Velocity of Money," American Economic Review, American Economic Association, vol. 64(3), pages 405-418, June.
    10. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    11. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lillian Kamal, 2014. "Do GAP Models Still have a Role to Play in Forecasting Inflation?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(3), pages 1-12.
    2. 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.
    3. 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;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(2), pages 273-289, June.
    4. Joseph Atta-Mensah, 1996. "A Modified P*-Model of Inflation Based on M1," Staff Working Papers 96-15, Bank of Canada.
    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. John A. Tatom, 1990. "The link between monetary aggregates and prices," Working Papers 1990-002, Federal Reserve Bank of St. Louis.
    7. Richard G. Anderson & Jeffrey J. Hallman, 1993. "Has the long-run velocity of M2 shifted? Evidence from the P* model," Economic Review, Federal Reserve Bank of Cleveland, vol. 29(Q I), pages 14-26.
    8. Mujeri, Mustafa Kamal & Shahiduzzaman , Md & Islam, Md Ezazul, 2009. "Application of the P?Star Model for Measuring Inflationary Pressure in Bangladesh," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 32(1), pages 1-22, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, June.
    2. Dennis L. Hoffman & Robert H. Rasche, 1997. "STLS/US-VECM6.1: a vector error-correction forecasting model of the U. S. economy," Working Papers 1997-008, Federal Reserve Bank of St. Louis.
    3. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    4. Dennis Hoffman & Robert H. Rasche, 1989. "The Demand For Money in the U.S. During the Great Depression: Estimates and Comparison with the Post War Experience," NBER Working Papers 3217, National Bureau of Economic Research, Inc.
    5. David A. Dickey & Dennis W. Jansen & Daniel L. Thornton, 1994. "A Primer on Cointegration with an Application to Money and Income," Palgrave Macmillan Books, in: B. Bhaskara Rao (ed.), Cointegration, chapter 2, pages 9-45, Palgrave Macmillan.
    6. Nasr, G. E. & Badr, E. A. & Dibeh, G., 2000. "Econometric modeling of electricity consumption in post-war Lebanon," Energy Economics, Elsevier, vol. 22(6), pages 627-640, December.
    7. Bardsen, G. & Klovland, J.T., 1990. "Finding The Rigth Nominal Anchor: The Cointegration Of Money, Credit And Nominal Income In Norway," The Warwick Economics Research Paper Series (TWERPS) 350, University of Warwick, Department of Economics.
    8. PHILIP E.T. LEWIS & GARRY A. MacDONALD, 1993. "Testing for Equilibrium in the Australian Wage Equation," The Economic Record, The Economic Society of Australia, vol. 69(3), pages 295-304, September.
    9. Peter Englund & Anders Vredin, 1990. "The current account, supply shocks and accommodative fiscal policy : interpretations of Swedish post-war data," Finnish Economic Papers, Finnish Economic Association, vol. 3(2), pages 89-107, Autumn.
    10. Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010. "Cointegration in a historical perspective," Journal of Econometrics, Elsevier, vol. 158(1), pages 156-159, September.
    11. Apostolos Serletis, 2007. "Is There an East-West Split in North American Natural Gas Markets?," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 6, pages 59-72, World Scientific Publishing Co. Pte. Ltd..
    12. Michael T. Belongia & Peter N. Ireland, 2015. "Interest Rates and Money in the Measurement of Monetary Policy," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 255-269, April.
    13. Lawrence J. Christiano, 1989. "P*: not the inflation forecaster's holy grail," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 13(Fall), pages 3-18.
    14. Leon Shilton, 2000. "Random Walks and the Cointegration of the ACLI and NCREIF," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(3), pages 435-465.
    15. repec:hit:hitjcm:v:56:y:2015:i:1:p:117-134 is not listed on IDEAS
    16. Luis Oscar Herrera & Rodrigo Vergara, 1992. "Estabilidad de la Demanda de Dinero, Cointegración y Política Monetaria," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 29(86), pages 35-54.
    17. Adolfo Sachsida & Mário Jorge Cardoso de Mendonça, 2006. "Domestic Saving and Investment Revised: Can the Feldstein-Horioka Equation be Used for Policy Analysis?," Discussion Papers 1158, Instituto de Pesquisa Econômica Aplicada - IPEA.
    18. Sung Bae & Taihyeup David Yi, 2009. "Structural breaks and the Fisher hypothesis in bond and stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(24), pages 1961-1973.
    19. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
    20. Donald W. Hayes & Cara S. Lown, 1990. "Another look at the credit-output link," Working Papers 9001, Federal Reserve Bank of Dallas.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:6:y:1990:i:3:p:421-440. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ijforecast .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.