| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP2596
|
| DP2596 Dutch Migrants in New Zealand - Did They Fare Well? |
| Joop Hartog; Rainer Winkelmann
|
| 发表日期 | 2000-10-24
|
| 出版年 | 2000
|
| 语种 | 英语
|
| 摘要 | This paper recasts Temin's (1976) question of whether monetary forces caused the Great Depression in a modern time series framework. We analyse money-income causalities and predict US output in a recursive Bayesian framework, allowing for information updating and time-varying coefficients. The predictive power of money aggregates and the Fed discount rate is in general very weak and collapses after the crisis of the gold standard in 1931. In contrast, non-monetary variables, particularly leading indicators of residential construction and equipment investment, have impressive forecasting power, forecasting almost half the output decline already in mid-1929. Our recursive framework also allows examination of the stability of our estimated dynamic parameters. Recursive estimates of the monetary impulse responses exhibit remarkable structural instability and strongly react to monetary regime changes during the depression. This phenomenon is discomforting in the light of the Lucas (1976) critique, as it suggests that the money/income relationship may be endogenous to policy and was not in the set of deep parameters of the US economy. Given the instability and poor predictive power of monetary instruments and the strong showing of leading indicators of real activity, we remain skeptical about a monetary interpretation of the Great Depression in the US. |
| 主题 | International Macroeconomics
|
| 关键词 | Money/income causality
Great depression
Recursive estimates
Conditional forecasts
|
| URL | https://cepr.org/publications/dp2596
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531664
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推荐引用方式
GB/T 7714 |
Joop Hartog,Rainer Winkelmann. DP2596 Dutch Migrants in New Zealand - Did They Fare Well?. 2000.
|
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