Empirical study of new Keynesian model using cointegrated VAR : what New Zealand data tell us

Econometric analysis of rational expectations models has been a widely studied topic in the macro-econometric literature. This thesis looks in particular at evaluating Neokeynesian model (NKM) with respect to its conformity with the data. Among the available econometric techniques, this thesis investigates what cointegrated VAR can illuminate about how close the NKM gets to the data. This project closely follow the approach taken by Mikael Juselius (2008) and extends the analysis to the New Zealand data. The findings from the thesis lend support to Juselius' conclusions but in a limited way. The results from this thesis question the robustness of his claims based on US data supporting inexact rational expectations models.

Department dc:contributor.department

Massachusetts Institute of Technology. Dept. of Economics.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2009

Author dc:creator

• Kim, Hae-min

Advisor dc:contributor.advisor

• Michael Piore.

• Economics.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/54656

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/54656