G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w0430
来源IDWorking 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
URLhttps://www.nber.org/papers/w0430
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/557608
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Christopher A. Sims. Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered. 1980.
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