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Erschienen in: Empirical Economics 4/2018

29.06.2017

The Lucas hypothesis on monetary shocks: evidence from a GARCH-in-mean model

verfasst von: Sajjadur Rahman

Erschienen in: Empirical Economics | Ausgabe 4/2018

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Abstract

In this paper, we review the Lucas hypothesis that the impact on real output to unanticipated nominal shocks is inversely related across countries to the variability of such shocks. In doing so, we model money supply volatility explicitly to capture important volatility effects that previous work has ignored. Using postwar data from 39 countries, we find empirical evidence in favor of the hypothesis. Our results are robust to data mining, alternative data frequencies, alternative measures of nominal shocks and monetary policy instruments, and alternative measures of the level of economic activity.

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Fußnoten
1
See, for example, Mascaro and Meltzer (1983), Evans (1984), Belongia (1984), Tatom (1984, 1985), McMillin (1988), Grier and Tullock (1989), Ramey and Ramey (1995), Grier and Perry (2000), among others.
 
2
See, for example, Engle (1982), Bollerslev (1986), Kroner and Lastrapes (1993), Grier et al. (2004), Elder (2004), Serletis and Shahmoradi (2006), and others.
 
3
See, for example, Dickey et al. (1991), Friedman and Kuttner (1992), and Miller (1991).
 
4
The test is available in RATS Econometrics Software.
 
5
We conducted the same tests in log levels of the variables and find that the null hypothesis of a unit root cannot be rejected at conventional significance levels for most of the countries.
 
6
For a given country, we also conducted an F-test of the null hypothesis that the coefficients in the money supply equation are all zero, and the hypothesis is rejected at a conventional level of significance.
 
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Metadaten
Titel
The Lucas hypothesis on monetary shocks: evidence from a GARCH-in-mean model
verfasst von
Sajjadur Rahman
Publikationsdatum
29.06.2017
Verlag
Springer Berlin Heidelberg
Erschienen in
Empirical Economics / Ausgabe 4/2018
Print ISSN: 0377-7332
Elektronische ISSN: 1435-8921
DOI
https://doi.org/10.1007/s00181-017-1270-1

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