F.A.G. den Butter

The demand for money in EEC countries

Abstract This paper examines the demand for money in the EEC countries and is focussed on five issues. First it starts form a common economic framework, which allows for shifts from M 2 to non-money assets and vice versa . Second, special attention is given to the dynamic structure of the statistical model in order to obtain meaningful conclusions on, e.g., the speed of adjustment of actual to optimal money holdings. Third, the study is entirely based on a uniform set of quarterly data for the eight countries concerned. Fourth, the paper presents a careful examination of the residuals and, finally, analyses the predictive behaviour of the estimated models. For all countries we found long-run income elasticities greater than unity and interest rate elasticities clustered around -0.20. The impact of inflation and the business cycle variable appeared to be significant in the majority of countries considered.

Empirical Models and Policy Making: Interaction and Institutions

Section I: The Tinbergen Tradition Section II: the Variety of Experience Section III: Model Products and Model Usage Section IV: The Interaction Process and Institutional Arrangements Section V: Empirical models and Policy Making

SUSTAINABLE DEVELOPMENT WITH EXTRACTIVE AND NON-EXTRACTIVE USE OF THE ENVIRONMENT IN PRODUCTION

This paper considers an economy in which the environment plays a role both in welfare and production. An endogenous growth model, which allows for abatement activities, is formulated in order to study the impact of pollution on welfare and long-term growth. Conditions for optimal and balanced economic growth are discussed and a numerical example is given to provide some insight in the mechanisms at work in the model.

A pilot index for environmental policy in The Netherlands

A pilot environmental index for The Netherlands shows a downward trend of environmental pressure in the last decade. The index measures environmental pressure from the policy perspective and the observed downward trend does not imply that environmental quality has increased. The aggregation weights which are used to combine various theme indicators of environmental policy to one overall index are derived from public opinion polls on the concern for environmental problems. Following Hope c.s., who constructed a similar pilot environmental index for the UK, we used the analogy of compilation of quality of life indices.

Seasonal adjustment as a practical problem

Seasonal adjustment as a practical problem. Prolegomena to actual seasonal adjustment. Mechanical seasonal adjustment methods. ARIMA models and seasonal adjustment. Structural time series models and seasonal adjustment. The adding up problem and seasonally adjusted monetary analysis. Causal methods of seasonal adjustment. Concluding observations. Annex. References. Indexes.

Measuring the trade-off between economic growth and a clean environment

This article surveys various aspects of the measurement of environmental quality from the view point of national accounting and welfare economics. It focuses on the question whether GNP or NNP should be corrected for environmental change (‘green’ or ‘eco’-GNP) or whether physical accounts provide sufficient information for an assessment of the trade-off mentioned above. We conclude that valuation of (services from) environmental capital cannot be avoided for such assessment, but can only be made using a model based approach. Statistical agencies should continue to collect data on environmental quality and to value changes in environmental capital in the context of national resource accounting. However, official statisticians should refrain from correcting GNP or NNP for environmental change, as this correction implicitly contains a political judgment and cannot be based on mere technical knowledge.

Macroeconomic modelling and the policy of restraint in the Netherlands

Abstract On two occasions a major change in the structure of Dutch macroeconomic policy models has contributed to a broad political consensus on the policy of restraint pursued by the Dutch government. The first change occured in the mid-1970s, when a clay-clay vintage model which endogenizes productive capacity and labour demand was added to the traditional Keynesian demand oriented short-term policy model. This new model provided the argument for wage restraint as a remedy for the unemployment problem. At the beginning of the 1980s the second change was the addition of a fully fledged monetary block to the models, which was intended to support the crowding out argument for the policy of cutting government expenditure. This paper investigates the validity of the above arguments by simulating the policy of restraint with three stylized representations of the three generations of Dutch policy models. These simulations and a sensitivity analysis on the crucial parameters of the models show that the models provide more support for a policy of wage restraint than for a policy of reducing government expenditure.

THE USE OF MONTHLY AND QUARTERLY DATA IN AN ARMA MODEL

Abstract This paper deals with specification, prediction and length of interval between the observations in an ARMA model. An AR(1) model is found to be suitable for a specific monthly time series. From this series we construct two types of quarterly series and derive the corresponding ARMA models. The theoretical parameter values of the quarterly models, given the monthly model, are compared with the values found empirically when no monthly series exists. By using the variance of the predictor error, we assess the performance of all specifications in predicting up to one year ahead. We show that while the monthly model performs best in theory, the values computed directly from the estimates prove in our empirical example the quarterly models to be preferable in most cases where we are to predict more than one quarter ahead.

Seasonal Adjustment Using Structural Time Series Models: An Application and a Comparison With the Census X-11 Method

This article makes the method of seasonal adjustment operational using suitable structural time series models (STM). This so-called STM method is applied to several relevant Dutch macroeconomic quarterly and monthly time series. The results are compared with those of the Census X-11 method using several formal criteria as yardsticks. The STM method proves to compete well with the Census X-11 method in this respect.

The use of ARIMA models in seasonal adjustment

This paper compares the traditional Census X-11 method for seasonal adjustment with two recent alternative methods using ARIMA models, viz. X-11 ARIMA and Burmans signal extraction method. No strong preference results for one of these methods when applied to a number of macro-economic time series for the Netherlands.