All circuits enumeration in macro-econometric models

Abstract

This contribution seeks to improve the knowledge of the cycle structure of macro-econometric models. This is essential for various purposes such as model building, economic analysis and simulations of economic policies. Given a standardization of the system which maps each equation to one endogenous variable, the causal structure of the resulting digraph is studied. The retained application is a recent academic model of 130 equations by Fair for the United States. The directed graph of this macro-econometric model consists of 53 strong connected components (one of them has a maximum of 77 vertices). The model is highly interdependent with 7,990 circuits, of which 8 include a maximum of 42 vertices. © Springer Science+Business Media B.V. 2009.