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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w0430 |
来源ID | Working Paper 0430 |
Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered | |
Christopher A. Sims | |
发表日期 | 1980 |
出版年 | 1980 |
语种 | 英语 |
摘要 | 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. |
主题 | Macroeconomics |
URL | https://www.nber.org/papers/w0430 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557608 |
推荐引用方式 GB/T 7714 | Christopher A. Sims. Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered. 1980. |
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w0430.pdf(158KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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