Inflation and Currency Depreciation in Germany, 1920-1923: A Dynamic Model of Prices and the Exchange Rate
构建了一个动态模型，同时解释德国恶性通胀期间的价格、汇率和货币供给，发现汇率对货币冲击的调整速度远快于价格。
This paper presents a dynamic model of the German hyperinflation, explaining prices, the exchange rate and the money supply. In the model estimated simultaneously, the nominal exchange rate is allowed to diverge from Purchasing Power Parity in the short run, the monetary approach to exchange rate determination and the quantity theory of money are assumed to be valid in the long run, the dynamic adjustment of prices and the exchange rate to monetary disturbances is made explicit, and currency substitution between domestic and foreign currency is introduced explicitly. The problem of the autocorrelation of the residuals of the money demand function found in previous studies is resolved, the fit of inflation and exchange rate changes is very satisfactory, and the speed of adjustment of the exchange rate to monetary disturbances is found to be much higher than for prices. Copyright 1995 by Ohio State University Press.