Finance and Economics Discussion Series (FEDS)
July 1997
A Guide to FRB/US: A Macroeconomic Model of the United States
F. Brayton and P. Tinsley (eds.)
Abstract:
FRB/US is a large-scale quarterly econometric model of the U.S. economy, developed to replace the MPS model. Most behavioral equations are based on specifications of optimizing behavior containing explicit expectations of firms, households, and financial markets. Although expectations are explicit, the empirical fits of the structural descriptions of macroeconomic behavior are comparable to those of reduced-form time series models. In most instances, tests do not reject overidentifying restrictions of rational expectations or the hypothesis of serially independent residuals. As modeled, private sector expectations of policy constitute a major transmission channel of monetary policy.
Full paper (503 KB Postscript)Keywords: Macroeconomic models, private sector learning, rational expectations, vector autoregressions
PDF: Full Paper
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