Abstract

Inspired by the paper by Guzman and Stiglitz (2020, ‘Towards a dynamic disequilibrium theory with randomness,’ NBER Working Paper 27453), this article shows that cointegrated VAR (CVAR) analyses have for many years provided empirical underpinnings for most of the topics discussed in that paper. The CVAR takes the nonstationarity of economic data seriously; it allows explicitly for complex adjustment dynamics in the short run and the long run; it is able to describe self-reinforcing feedback mechanisms leading to multiple equilibria; it is able to handle extraordinary shocks to the system whether they are exogenously or endogenously induced; and it is able to accommodate sizeable crisis periods such as the Great Recession. The article discusses these issues and many more from a methodological, econometric, and empirical point of view and illustrates the ideas with an application to the Phillips curve with a Phelpsian natural rate based on US data.

中文翻译：

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不平衡宏观经济计量学

摘要

受到 Guzman 和 Stiglitz 论文的启发（2020 年，“Towards a dynamic disequilibrium theory with randomness”，NBER 工作论文 27453)，本文表明协整 VAR (CVAR) 分析多年来为该论文中讨论的大多数主题提供了经验基础。CVAR 重视经济数据的非平稳性；它明确允许短期和长期的复杂调整动态；它能够描述导致多重平衡的自我强化反馈机制；它能够处理对系统的异常冲击，无论它们是外生的还是内生的；它能够适应大萧条等相当大的危机时期。本文从方法论、计量经济学和实证的角度讨论了这些问题以及更多问题，并通过将基于美国数据的菲尔普斯自然利率应用于菲利普斯曲线来说明这些想法。