EconPapers    
Economics at your fingertips  
 

Monetary policies and low-frequency manifestations of the quantity theory

Thomas Sargent and Paolo Surico

No 26, Discussion Papers from Monetary Policy Committee Unit, Bank of England

Abstract: To detect the quantity theory of money, we follow Lucas (1980) by looking at scatter plots of filtered time series of inflation and money growth rates and interest rates and money growth rates. Like Whiteman (1984), we relate those scatter plots to sums of two-sided distributed lag coefficients constructed from fixed-coefficient and time-varying VARs for US data from 1900-2005. We interpret outcomes in terms of population values of those sums of coefficients implied by two DSGE models. The DSGE models make the sums of coefficients depend on the monetary policy rule via cross-equation restrictions of a type that Lucas (1972) and Sargent (1971) emphasised in the context of testing the natural unemployment rate hypothesis. When the US data are extended beyond Lucas's 1955-75 period, the scatter plots mutate in ways that we attribute to prevailing monetary policy rules.

Keywords: Quantity theory; policy regimes; time-varying VAR (search for similar items in EconPapers)
JEL-codes: E40 E42 E51 E52 N10 (search for similar items in EconPapers)
Pages: 72 pages
Date: 2008-12-08
New Economics Papers: this item is included in nep-cba, nep-dge, nep-hpe, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
https://www.bankofengland.co.uk/-/media/boe/files/ ... -the-quantity-theory Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mpc:wpaper:0026

Access Statistics for this paper

More papers in Discussion Papers from Monetary Policy Committee Unit, Bank of England Contact information at EDIRC.
Bibliographic data for series maintained by Bank of England Website ().

 
Page updated 2024-05-26
Handle: RePEc:mpc:wpaper:0026