An Econometric Investigation of the Monetary Neutrality and Rationality Propositions from an International Perspective
运用Mishkin方法检验六个国家的宏观理性预期假说，即预期内的货币政策是否不影响实际经济变量，为国际比较提供新证据。
T HE combination of the natural rate of unemployment and the rational expectations hypotheses in macroeconomic models results in the now well-known conclusion that anticipated short-run monetary stabilization policies do not influence real economic variables. This policy ineffectiveness proposition has been named the Macro Rational Expectations (MRE) hypothesis by Modigliani (1977). As a result, the implicit policy prescription is that a price level stabilization policy should be pursued. The empirical validity of this conclusion is perhaps the central issue in modern stabilization theory. Barro (1977, 1978, 1981), Barro and Rush (1980), and Leiderman (1980) have presented empirical evidence for the United States supporting this proposition. However, a number of recent studies have claimed that previous empirical results which support the finding that anticipated policy is neutral are flawed. Corrections of these problems often result in conflicting conclusions (see Small (1979), Gordon (1979), and Mishkin (1982)). Given the important implications of the MRE hypothesis, it is curious that almost all formal testing has been focused upon the United States. While Barro has suggested that a cross-country study would be useful, as far as we know, only Darby (1980) attempts to test whether anticipated changes in monetary policy are neutral across countries. Unfortunately, his results suffer from problems caused by using generated regressors. In addition, he makes no attempt to test the individual implications of the MRE hypothesis which encompasses the propositions that expectations are rational (lad anticipated monetary policy does not matter. In this paper, we employ the methodology developed by Mishkin to test the MRE hypothesis in six countries-Canada, Germany, Italy, Japan, the United Kingdom, and the United States. The paper is divided into three major sections and a conclusion. Section II briefly reviews Mishkin's testing method. In section III the procedure employed to specify the money growth equation is discussed and these equations specified. Section IV presents and discusses the results of applying the method introduced in section II. In the conclusion, the major findings are restated, possible limitations discussed, and extensions suggested.