Two Illustrations of the Quantity Theory of Money: Breakdowns and Revivals

• 成果类型: Article
• 署名作者: Sargent, Thomas J.; Surico, Paolo
• 署名单位: New York University; Centre for Economic Policy Research - UK; University of London; London Business School
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.101.1.109
• 发表日期: 2011
• 页码: 109-128
• 关键词: long-run neutrality; superneutrality; inflation; shocks

摘要

By extending his data, we document the instability of low-frequency regression coefficients that Lucas (1980) used to express the quantity theory of money. We impute the differences in these regression coefficients to differences in monetary policies across periods. A DSGE model estimated over a subsample like Lucas's implies values of the regression coefficients that confirm Lucas's results for his sample period. But perturbing monetary policy rule parameters away from the values estimated over Lucas's subsample alters the regression coefficients in ways that reproduce their instability over our longer sample. (JEL C51, E23, E31, E43, E51, E52)