Divisia Monetary Aggregates, the Great Ratios, and Classical Money Demand Functions
使用改进的Divisia货币总量重新检验King等人的协整检验，发现之前对平衡增长假说和古典货币需求函数的拒绝源于货币总量的测量误差。
King et al. ( ) evaluate the empirical relevance of a class of real business cycle models with permanent productivity shocks by analyzing the stochastic trend properties of postwar U.S. macroeconomic data. They find a common stochastic trend in a three‐variable system that includes output, consumption, and investment, but the explanatory power of the common trend drops significantly when they add money balances and the nominal interest rate. In this paper, we revisit the cointegration tests in the spirit of King et al., using improved monetary aggregates whose construction has been stimulated by the Barnett critique. We show that previous rejections of the balanced growth hypothesis and classical money demand functions can be attributed to mismeasurement of the monetary aggregates.