scholarly journals Searching for a Theory that fits the Data: A Personal Research Odyssey

2018 ◽  
Author(s):  
Katarina Juselius
Keyword(s):  
Rational Expectations ◽  
Aid Effectiveness ◽  
African Countries ◽  
Survey Paper ◽  
Cointegrated Var ◽  
Knowledge Based ◽  
Transmission Mechanisms ◽  
Imperfect Knowledge ◽  
Monetary Transmission Mechanisms ◽  
Personal Research

This survey paper discusses the Cointegrated VAR methodology and how it has evolved over the last 30 years. The first section is a description of major steps in the econometric development of the CVAR model that facilitated serious real world applications. The next three sections are primarily methodological and discuss (i) difficulties and puzzles when confronting theory with the data, (ii) the formulation of a viable link between theory and the data, a so called theory-consistent CVAR scenario, and (iii) how all this was inspired by Trygve Haavelmo and his Nobel prize winning monograph "The Probability Approach to Economics". The next two sections discuss early applications of the Cointegrated VAR model to monetary transmission mechanisms, international transmission mechanisms and wage, price and unemployment dynamics. They report puzzling evidence, discuss the need for new theory, and propose a method for combining partial CVAR analyses into a larger macroeconomic model. The following sections propose a new, empirically-based, approach to macroeconomics in which imperfect knowledge based expectations replace so called rational expectations and in which the financial sector plays a key role for understanding the long persistent movements in the data. The last section argues that the CVAR can act as a "design of experiment for passive observations" and illustrates with several applications including unemployment dynamics under crises periods and aid effectiveness in South Saharan African countries.

scholarly journals Searching for a Theory That Fits the Data: A Personal Research Odyssey

Econometrics ◽  
2021 ◽  
Vol 9 (1) ◽  
pp. 5
Author(s):  
Katarina Juselius
Keyword(s):  
Design Of Experiment ◽  
Rational Expectations ◽  
Large Scale ◽  
Macroeconomic Model ◽  
Vector Autoregressive ◽  
Empirical Results ◽  
Survey Paper ◽  
The Past ◽  
Imperfect Knowledge ◽  
Personal Research

This survey paper discusses the Cointegrated Vector AutoRegressive (CVAR) methodology and how it has evolved over the past 30 years. It describes major steps in the econometric development, discusses problems to be solved when confronting theory with the data, and, as a solution, proposes a so-called theory-consistent CVAR scenario. A number of early CVAR applications are motivated by the urge to find out why the empirical results did not support Milton Friedman’s concept of monetary inflation. The paper also proposes a method for combining partial CVAR analyses into a large-scale macroeconomic model. It argues that an empirically-based approach to macroeconomics preferably should be based on Keynesian disequilibrium economics, where imperfect knowledge expectations replace so called rational expectations and where the financial sector plays a key role for understanding the long persistent movements in the data. Finally, the paper argues that the CVAR is potentially a candidate for Haavelmo’s “design of experiment for passive observations” and provides several illustrations.

scholarly journals The price puzzle and the role of South African monetary policy in Botswana and Namibia

2012 ◽  
Vol 5 (1) ◽  
pp. 193-214
Author(s):  
Philippe Burger ◽  
Helvi Fillipus ◽  
Innocent Molalapata
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
South African ◽  
Reaction Functions ◽  
Transmission Mechanisms ◽  
Price Puzzle ◽  
The Interest Rate ◽  
Monetary Transmission Mechanisms ◽  
Interest Rate Shock

Using SVAR analysis, this paper finds what Sims calls a ‘price puzzle’, i.e. a case where CPI increases after a positive interest rate shock. The SVAR analysis controls for various monetary transmission mechanisms, including one based on the South African dominance hypothesis that links South African monetary policy to inflation in Botswana and Namibia. The paper follows Castelnuovo and Surico and interprets the price puzzle as a symptom of an indeterminate monetary policy. Subsequently the paper explores the finding of indeterminate monetary policy further by using an unstructured VAR to estimate the monetary reaction functions of Botswana and Namibia. These results also point to the presence of an indeterminate monetary policy. Lastly, both the SVAR and the unstructured VAR estimated for the monetary reaction function indicate the importance of the exchange rate, and not the interest rate, as a determinant of inflation in both Botswana and Namibia

scholarly journals Innovation Policy And Governance In The African Region

2017 ◽  
Vol 16 (2) ◽  
pp. 119-130 ◽  
Author(s):  
Wanjiru Gachie ◽  
Desmond Wesley Govender
Keyword(s):  
Innovation Policy ◽  
Innovation System ◽  
Policy Dialogue ◽  
International Organisations ◽  
African Region ◽  
African Countries ◽  
Knowledge Based ◽  
Knowledge Based Economy ◽  
National System Of Innovation

This paper undertakes a desktop examination of innovation policy and governance in Africa. The article therefore adds on to the importance of intra-African region innovation policy dialogue by exploring policy developments in the African region. The article identifies a weak and fragmented innovation system as a major challenge facing many of the African countries, exacerbated by the lack of an explicit innovation strategy. The literature indicates that Science, Technology and Innovation (STI) policies should not simply adopt a science-push approach to innovation, but rather focus on building an entire system of innovation. The emergence of a knowledge-based economy and globalisation such as the BRICs - Brazil, Russia, India, China and South Africa are restructuring the dynamics of innovation in developing countries. The literature has also shown that several international organisations have played significant roles in the development of Science and Technology (S&T) policies among African countries. However, the international organisations initiatives have mostly focused on the development of S&T with minimal emphasis on the role of policies and administration, which would increase learning and innovation performance in Africa. The central premise of the article is that innovation policy and governance is an essential component of the National System of Innovation in the African region.

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