NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Christopher A. Sims

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Working Papers

June 1994Toward a Modern Macroeconomic Model Usable for Policy Analysis
with Eric M. Leeper: w4761
This paper presents a macroeconomic model that is both a completely specified dynamic general equilibrium model and a probabilistic model for time series data. We view the model as a potential competitor to existing ISLM-based models that continue to be used for actual policy analysis. Our approach is also an alternative to recent efforts to calibrate real business cycle models. In contrast to these existing models, the one we present embodies all the following important characteristics: i) It generates a complete multivariate stochastic process model for the data it aims to explain, and the full specification is used in the maximum likelihood estimation of the model; ii) It integrates modeling of nominal variables -- money stock, price level, wage level, and nominal interest rate -- wi...

Published:

September 1983Forecasting and Conditional Projection Using Realistic Prior Distributions
with Thomas Doan, Robert B. Litterman: w1202
This paper develops a forecasting procedure based on a Bayesian method for estimating vector autoregressions. The procedure is applied to ten macroeconomic variables and is shown to improve out-of-sample forecasts relative to univariate equations. Although cross-variables responses are damped by the prior, considerable interaction among the variables is shown to be captured by the estimates.We provide unconditional forecasts as of 1982:12 and 1983:3.We also describe how a model such as this can be used to make conditional projections and to analyze policy alternatives. As an example, we analyze a Congressional Budget Office forecast made in 1982:12.While no automatic causal interpretations arise from models like ours, they provide a detailed characterization of the dynamic statistical inte...

Published: Doan, Thomas, Robert B. Litterman and Christopher A. Sims. "Forecasting and Conditional Projection Using Realistic Prior Distributions," Econometric Reviews, Vol. 3, No. 1 Jan. 1984, pp. 1-100.

October 1980Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered
w0430
When monthly data on production, prices, and the money stock are interpreted, via a vector autoregression, as generated by dynamic responses to "surprises" in each of the variables, a remarkable similarity in dynamics between interwar and postwar business cycles emerges, though the size of the "surprises" is much larger in the interwar period. Furthermore, the money stock emerges as firmly causally prior, in Granger's sense, in both periods and accounts for a substantial fraction of variance in production in both periods. When a short interest rate is added to the vector autoregression, the remarkable similarity in dynamics between periods persists, but the central role of the money stock surprises evaporates for the postwar period. While there are potential monetarist explanations for suc...

Published: Sims, Christopher A. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered." The American Economic Review, Vol. 70, No. 2, (May 1980), pp. 250-257. citation courtesy of

June 1980Martingale-Like Behavior of Prices
w0489
Asset prices set in a competitive market need not be martingales; that is, it need not be true that the best predictor of future prices is the current price. Nonetheless, statistical tests for this property are sometimes treated as tests for the proper functioning of an asset market; asset prices often seem to have the property to a close approximation, and it is sometimes supposed that the martingale ought to be imposed on econometric models of asset markets and forecasts made from them. This paper shows that under general conditions, which allow among other things for risk aversion among market participants, competitive asset prices ought to be locally -- over small units of time -- martingale-like. This implies that tests of proper functioning of the market ought to be conducted with d...

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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