Cagan's Model of Hyperinflation under Rational Expectations
研究德国恶性通胀中卡甘模型在理性预期下的表现，发现关键参数估计对模型设定高度敏感，修改萨金特1977年的设定会推翻其结论，且数据能给出更精确的估计。
This paper studies P. Cagan's model of the German hyperinflation under the hypothesis that adaptive expectations are rational. It shows that inference about the key money demand elasticity parameter, a, is very senstitive to the specification of the dynamic interaction of the unobserved money demand shock with prices and money. In particular, if T. J. Sargent's 1977 specification is modified, then his basic conclusions are overturned: identification of a does not require prior knowledge about the covariance of unobserved shock terms; and d ata on the German hyperinflation imply a sharp, not loose estimate of a, which is of plausible magnitude. Finally, informal tests indicate that modifying Sargent's specification gives rise to improved model fit. Copyright 1987 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.