Cross-Regime Evidence of Macroeconomic Rationality
利用47个国家的样本，检验理性预期宏观模型关于货币冲击对实际产出短期影响与冲击方差负相关的跨体制命题，发现短期产出效应为正，长期货币中性，且跨体制关系与理论一致。
Rational expectations macromodels predict that the short-run effects of monetary shocks on real output (X) should be negatively related across policy regimes to the variability of such shocks. This paper presents cross-regime tests of this and related propositions based on a sample of 47 countries. The within-regime estimates reveal a consistent pattern of positive short-run real output effects, with neutrality of money holding in the long run. The cross-regime tests show that X is negatively related to the variance of monetary shocks, positively related to the variance of real output shocks, negatively related to the variance of velocity shocks, and unrelated to either the mean or variance of anticipated money growth.