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Monetary anticipation and the demand for money in the U.K. : testing rationality in the Shock-Absorber hypothesis

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Cuthbertson, Keith and Taylor, Mark P. (1986) Monetary anticipation and the demand for money in the U.K. : testing rationality in the Shock-Absorber hypothesis. Journal of Applied Econometrics, 1 (4). pp. 355-365.

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Official URL: http://dx.doi.org/10.1002/jae.3950010406

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Abstract

The Carr-Darby shock-absorber hypothesis that unanticipated changes in the money supply cause changes in real balances but anticipated changes have a unit impact on the price level (and therefore leave real balances unchanged) is tested using two-step and joint estimation techniques. For the U.K., two-step methods appear to support the shock-absorber hypothesis, but the superior joint estimation technique decisively rejects the hypothesis, particularly the implicit rational expectations cross-equation restrictions.

Item Type: Journal Article
Divisions: Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Journal of Applied Econometrics
Publisher: Wiley-Blackwell Publishing, Inc
ISSN: 0883-7252
Official Date: October 1986
Dates:
DateEvent
October 1986Published
Volume: 1
Number: 4
Page Range: pp. 355-365
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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