TY  - JOUR
TI  - Studies of Cause-Effect Relationships in Macroeconomics: Nobel Prize in Economics in 2011
T2  - HSE Economic Journal 
IS  - HSE Economic Journal 
KW  - Nobel Prize
KW  - rational expectations
KW  - vector autoregressions
KW  - structural macroeconometrics
KW  - cross-equation restrictions
AB  - In modern science time-series analysis is fully integrated into macroeconomic theory. This is the main contribution of the Nobel Prize 2011 Winners Thomas Sargent (New York University) and Christopher Sims (Princeton University). Their methods of formulating and estimating macroeconometric models provide researches with the tools for analyzing macro­economic policy and complex cause and effect relationships in macroeconomics. The structu­ral macroeconometric approach that was developed by Sargent enables to investigate the consequences of systematic changes in a policy. Vector autoregressions (VARs) that were introduced by Sims allow to identify shocks in macroeconomic policy and to trace their dyna­mic impact on economic activity. Both Sargent and Sims followed the concept of active expe­ctations formation. While they were the main proponents of rational expectations approach in macroeconomics, their contribution to the development of modern theory of bounded rationality is also significant.
AU  - Oxana Malakhovskaya
AU  - Sergey Pekarski
UR  - https://ej.hse.ru/en/2012-16-1/53602446.html
PY  - 2012
SP  - 3-30
VL  - 16