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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
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: |
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| 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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