WorldCat Identities

Sims, Christopher A.

Overview
Works: 121 works in 260 publications in 1 language and 1,279 library holdings
Genres: Conference papers and proceedings  History 
Roles: Author, Editor, Honoree, Contributor
Publication Timeline
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Most widely held works about Christopher A Sims
 
Most widely held works by Christopher A Sims
Advances in econometrics : sixth World Congress by Econometric Society( Book )

49 editions published between 1987 and 1996 in English and Undetermined and held by 517 WorldCat member libraries worldwide

This is the second of a 1994 two-volume set of articles reflecting the state of research in theoretical and applied econometrics. The topics covered include time series methods, semiparametric methods, seasonality, financial economics, model solution techniques, economic development and labour economics. All the contributions were commissioned to be presented at the plenary sessions of the Sixth World Congress of the Econometric Society in Barcelona
Toward a modern macroeconomic model usable for policy analysis by Eric Michael Leeper( Book )

12 editions published in 1994 in English and held by 117 WorldCat member libraries worldwide

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 -- with modeling real variables; iii) It contains a Keynesian investment function, breaking the tight relationship of the return on investment with the capital-output ratio; iv) It treats both monetary and fiscal policy explicitly; v) It is based on dynamic optimizing behavior of the private agents in the model. Flexible-price and sticky-price versions of the model are estimated and their fits are evaluated relative to a naive model of no-change in the variables and to an unrestricted VAR. The paper displays the model's implications for the dynamic responses to structural shocks, including policy shocks, and evaluates the relative importance of various shocks for determining economic fluctuations
VAR models in macroeconomics : new developments and applications ; essays in honour of Christopher A. Sims( Book )

10 editions published between 2013 and 2014 in English and held by 100 WorldCat member libraries worldwide

Vector autoregressive (VAR) models are among the most widely used econometric tools in the fields of macroeconomics and financial economics. Much of what we know about the response of the economy to macroeconomic shocks and about how various shocks have contributed to the evolution of macroeconomic and financial aggregates is based on VAR models. VAR models also have been used successfully for economic and business forecasting, for modeling risk and volatility, and for the construction of forecast scenarios. Since the introduction of VAR models by C.A. Sims in 1980, the VAR methodology has continuously evolved. Even today important extensions and reinterpretations of the VAR framework are being developed. Examples include VAR models for mixed-frequency data, VAR models as approximations to DSGE models, factor-augmented VAR models, new tools for the identification of structural shocks in VAR models, panel VAR approaches, and time-varying parameter VAR models. This volume collects contributions from some of the leading VAR experts in the world on VAR methods and applications. Each paper highlights and synthesizes a new development in this literature in a way that is accessible to practitioners, to graduate students, and to readers in other fields
Martingale-like behavior of prices by Christopher A Sims( )

6 editions published between 1980 and 1984 in English and held by 63 WorldCat member libraries worldwide

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 data at fine time intervals; results of such tests should not be used to justify imposing the martingale property on a model's long-term projections of asset prices
Forecasting and conditional projection using realistic prior distributions by Thomas Doan( )

5 editions published in 1983 in English and held by 52 WorldCat member libraries worldwide

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 interdependence of a set of economic variables, which may help inevaluating causal hypotheses, without containing any such hypotheses themselves
Comparison of interwar and postwar business cycles: Monetarisn reconsidered by Christopher A Sims( )

3 editions published in 1980 in English and held by 45 WorldCat member libraries worldwide

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 such an observation, none of them seem to fit comfortably the estimated dynamics. A non-monetarist explanation of the dynamics, based on the role of expectations in investment behavior, seems to fit the estimated dynamics better. That this explanation, which is consistent with a passive role for money, could account for so much of the observed postwar relation between money stock and income may raise doubts about the monetarist interpretation even of the interwar data
Fiscal aspects of central bank independence by Christopher A Sims( Book )

7 editions published in 2001 in English and held by 29 WorldCat member libraries worldwide

Most macroeconomic models treat the central bank and the treasury as a unified entity. The balance sheet of the central bank is therefore implicitly treated as an accounting fiction. While this is often realistic, the central bank balance sheet today, with the US and ESCB balance sheets nearly at the extremes. The reasons for and implications of these differences are studied here
Rational inattention : a research agenda by Christopher A Sims( Book )

3 editions published in 2005 in English and held by 25 WorldCat member libraries worldwide

The literature applying information-theoretic ideas to economics has so far considered only Gaussian uncertainty. Ex post Gaussian uncertainty can be justified as optimal when the associated optimization problem is linear-quadratic, but the literature has often assumed Gaussian uncertainty even where it cannot be justified as optimal. This paper considers a simple two-period optimal saving problem with a Shannon capacity constraint and non-quadratic utility. It derives an optimal ex post probability density for wealth in two leading cases (log and linear utility) and lays out a general approach for handling other cases numerically. It displays and discusses numerical solutions for other utility functions, and considers the feasibility of extending this paper’s approaches to general non-LQ dynamic programming problems. The introduction of the paper discusses approaches that have been taken in the existing literature to applying Shannon capacity to economic modeling, making criticisms and suggesting promising directions for further progress
Does monetary policy generate recessions by Christopher A Sims( Book )

2 editions published in 1998 in English and held by 23 WorldCat member libraries worldwide

Error bands for impulse responses by Christopher A Sims( Book )

4 editions published between 1994 and 1995 in English and held by 21 WorldCat member libraries worldwide

Bayesian methods for dynamic multivariate models by Christopher A Sims( Book )

4 editions published between 1996 and 1997 in English and held by 20 WorldCat member libraries worldwide

If multivariate dynamic models are to be used to guide decision-making, it is important that it be possible to provide probability assessments of thier results. Bayesian VAR models in the existing literature have not commonly (in fact, not at all as far as we know) been presented with error bands around forecasts or policy projections based on the posterior distribution. In this paper we show that it is possible to introduce prior information in both reduced form and structural VAR models without introducing substantial new computational burdens. With our approach, identified VAR analysis of large systems (e.g., 20-variable models) becomes possible
Comparison of interwar and postwar cycles : monetarism reconsidered by Christopher A Sims( )

3 editions published in 1980 in English and held by 14 WorldCat member libraries worldwide

"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 such an observation, none of them seem to fit comfortably the estimated dynamics. A non-monetarist explanation of the dynamics, based on the role of expectations in investment behavior, seems to fit the estimated dynamics better. That this explanation, which is consistent with a passive role for money, could account for so much of the observed postwar relation between money stock and income may raise doubts about the monetarist interpretation even of the interwar data"--NBER website
Models and their uses by Christopher A Sims( Book )

2 editions published in 1989 in English and held by 13 WorldCat member libraries worldwide

VAR models in macroeconomics - new developments and applications essays in honor of Christopher A. Sims( )

1 edition published in 2013 in English and held by 12 WorldCat member libraries worldwide

Vector autoregressive (VAR) models are among the most widely used econometric tools in the fields of macroeconomics and financial economics. Much of what we know about the response of the economy to macroeconomic shocks and about how various shocks have contributed to the evolution of macroeconomic and financial aggregates is based on VAR models. VAR models also have been used successfully for economic and business forecasting, for modelling risk and volatility, and for the construction of forecast scenarios. Since the introduction of VAR models by C.A. Sims in 1980, the VAR methodology has continuously evolved. Even today important extensions and reinterpretations of the VAR framework are being developed. Examples include VAR models for mixed-frequency data, VAR models as approximations to DSGE models, factor-augmented VAR models, new tools for the identification of structural shocks in VAR models, panel VAR approaches, and time-varying parameter VAR models. This volume collects contributions from some of the leading VAR experts in the world on VAR methods and applications. Each chapter highlights and synthesizes a new development in this literature in a way that is accessible to practitioners, to graduate students, and to readers in other fields
Advances in Econometrics : Sixth World Congress by Christopher A Sims( )

4 editions published between 1994 and 1996 in English and Undetermined and held by 12 WorldCat member libraries worldwide

Advances in econometrics( Book )

2 editions published in 1994 in Undetermined and English and held by 10 WorldCat member libraries worldwide

A nine variable probabilistic macroeconomic forecasting model by Christopher A Sims( Book )

2 editions published in 1989 in English and held by 10 WorldCat member libraries worldwide

Solving nonlinear stochastic optimization and equilibrium problems backwards by Christopher A Sims( Book )

3 editions published in 1989 in English and held by 9 WorldCat member libraries worldwide

Modeling trends by Christopher A Sims( Book )

3 editions published in 1989 in English and held by 9 WorldCat member libraries worldwide

The precarious fiscal foundations of EMU by Christopher A Sims( Book )

3 editions published in 1999 in English and held by 8 WorldCat member libraries worldwide

 
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Alternative Names
Christopher A. Sims (1942-) amerikai közgazdászprofesszor

Christopher A. Sims American time-series statistician and econometrician, developer of vector auto-regressive models, Bayesian statistician, President of the Econometric Society, 2011 winner of the Nobel Prize

Christopher A. Sims americký ekonom, nositel Nobelovy ceny

Christopher A. Sims amerikansk ekonom

Christopher A. Sims amerikansk økonom

Christopher Albert Sims

Christopher Sims Amerikaans econoom

Christopher Sims economista statunitense

Christopher Sims US-amerikanischer Wirtschaftswissenschaftler

Christophorus A. Sims

Kristofers Simss

Sims, Chris 1942-

Sims, Christopher 1942-

Sims, Christopher Albert 1942-

Xristofor Sims

Крыстафер Сімс

Крістофер Сімс

Симс, Кристофер

Քրիսթոֆեր Սիմս

כריסטופר סימס

كريستوفر ا سيمز

کرسٹوفر سمز

کریستوفر ای. سیمز اقتصاددان آمریکایی

کریسٹوفر اے. سمس

क्रिस्टोफर ए सिम्स

ক্রিস্টোফার আলবার্ট সিমস

கிறிஸ்டோபர் ஆல்பர்ட் சிம்ஸ்

კრისტოფერ სიმსი

크리스토퍼 심스

クリストファー・シムズ

克里斯多福·西姆斯

克里斯托弗·西姆斯

Languages
English (126)