Cointegration and Cagan's Model of Hyperinflation under Rational Expectations
指出在德国恶性通胀数据中，货币和价格均为二阶单整，导致卡甘模型出现两种协整关系，而文献中常假设的速度冲击随机游走并不成立；作者扩展了Campbell和Shiller的协整VAR方法，用于在理性预期和无泡沫条件下评估卡甘模型，并应用于德国数据。
When money and prices are integrated of order two, Philip Cagan's (1956) model of hyperinflation will give rise to two different levels of cointegration. In most of the literature on the German hyperinflation, one of these cointegrating relationships has been ruled out a priori by assuming that velocity shocks follow a random walk. Using data from the German hyperinflation, the author finds this assumption to be unjustified. Based on a straightforward extension of the cointegrated VAR-approach suggested by John Y. Campbell and Robert J. Shiller (1987), a method to evaluate the Cagan model under rational expectations and no bubbles is proposed and implemented to the German data. Copyright 1993 by Ohio State University Press.