Econometric Business Cycle Research - Jacobs, Jan

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Résumé :
Econometric Business Cycle Research deals with econometric business cycle research (EBCR), a term introduced by the Nobel-laureate Jan Tinbergen for his econometric method of testing (economic) business cycle theories. EBCR combines economic theory and measurement in the study of business cycles, i.e., ups and downs in overall economic activity. We assess four methods of EBCR: business cycle indicators, simultaneous equations models, vector autoregressive systems and real business indicators. After a sketch of the history of the methods, we investigate whether the methods meet the goals of EBCR: the three traditional ones, description, forecasting and policy evaluation, and the one Tinbergen introduced, the implementation

Sommaire:
1 Introduction.- 1.1 Business cycles.- 1.2 Aim.- 1.3 Outline.- 2 Background.- 2.1 History of EBCR.- 2.2 Co-integration.- 2.3 Seasonality.- 2.4 Concluding remarks.- 3 Assesment.- 3.1 The EBCR methods.- 3.2 The theory-measurement distinction.- 3.3 Description.- 3.4 Forecasting.- 3.5 Policy evaluation.- 3.6 Role of theory.- 3.7 Concluding remarks.- 4 The CCSO composite leading indicator, A BCI of the Netherlands.- 4.1 Measuring business cycles.- 4.2 Detrending.- 4.3 Methodology.- 4.4 The CCSO composite leading indicator.- 4.5 Three business cycle indicators of the Netherlands.- 4.6 March 1997 forecast.- 4.7 Concluding remarks.- 5 The IBS-CCSO model, a SEM of the Netherlands.- 5.1 Setting.- 5.2 The financial sphere.- 5.3 The real sphere.- 5.4 Performance.- 5.5 Concluding remarks.- 6 VAR-ing the conomy of the Netherlands.- 6.1 Exogeneity.- 6.2 From VAR to VARX.- 6.3 Data and (weak) exogeneity test outcomes.- 6.4 The VARX model: estimates and analyses.- 6.5 Comparison of simulation outcomes.- 6.6 Concluding remarks.- 7 Summary and conclusions.- 7.1 Summary.- 7.2 Conclusions.- 7.3 Research agenda.- Appendices.- A The Johansen approach: estimators and test statistics.- B The IBS-CCSO Model: equations, variables and graphs.- B.1 Model equations.- B.1.1 The monetary submodel.- B.1.2 The real submodel.- B.2 List of variables.- B.3 Graphs.- Author Index.