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A Rational Expectations Model of Inflation for West Germany: Evidence from Quarterly Data

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  4. Vol. 23, Issue 1
  5. pp. 111–120

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Sonmez Atesoglu, H. A Rational Expectations Model of Inflation for West Germany: Evidence from Quarterly Data. Credit and Capital Markets – Kredit und Kapital, 23(1), 111-120. https://doi.org/10.3790/ccm.23.1.111
Sonmez Atesoglu, H. "A Rational Expectations Model of Inflation for West Germany: Evidence from Quarterly Data" Credit and Capital Markets – Kredit und Kapital 23.1, 1990, 111-120. https://doi.org/10.3790/ccm.23.1.111
Sonmez Atesoglu, H. (1990): A Rational Expectations Model of Inflation for West Germany: Evidence from Quarterly Data, in: Credit and Capital Markets – Kredit und Kapital, vol. 23, iss. 1, 111-120, [online] https://doi.org/10.3790/ccm.23.1.111
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A Rational Expectations Model of Inflation for West Germany: Evidence from Quarterly Data

Sonmez Atesoglu, H.

Credit and Capital Markets – Kredit und Kapital, Vol. 23 (1990), Iss. 1 : pp. 111–120

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.23.1.111
Language
Multiple languages
Pages
10

Author Details

H. Sonmez Atesoglu, Potsdam N. Y.

References

  1. Atesoglu, H. Sonmez: “A Rational Expectations Model of Price and Wage Inflation for West Germany”, Weltwirtschaftliches Archiv, Band 124, 1988, Heft 3, pp. 480 -489.  Google Scholar
  2. Barro, Robert J.: “Unanticipated Money Growth and Unemployment in the United States”, American Economic Review, March 1977, pp. 101 - 115.  Google Scholar
  3. Barro, Robert J.: “Unanticipated Money, Output, and the Price Level in the United States”, Journal of Political Economy, August 1978, pp. 549 - 580.  Google Scholar
  4. Barro, Robert J. / Rush, Mark: “Unanticipated Money and Economic Activity”. In: Stanley Fischer (Ed.), Rational Expectations and Economic Policy. Chicago 1980, pp. 23-48.  Google Scholar
  5. Barro, Robert J.: Money, Expectations and Business Cycle, New York: Academic Press, 1981.  Google Scholar
  6. Buscher, Herbert S.: “The Stability of the West German Demand for Money, 1965 - 1982”, Weltwirtschaftliches Archiv, Band 120, Heft 2, 1984, pp. 255 - 278.  Google Scholar
  7. Chow, G. C.: “Tests of Equality between Sets of Coefficients in Two Linear Regressions”, Econometrica, July 1960, pp. 591 - 605.  Google Scholar
  8. Demery, David, Nigel W. Duck, and Simon W. Musgrave: “Unanticipated Money Growth, Output and Unemployment in West Germany, 1964 - 1981”, Weltwirtschaftliches Archiv, Band 120, Heft 2, 1984, pp. 244 - 255.  Google Scholar
  9. Hoffman, Dennis L., and Don E. Schlagenhauf: “An Econometric Investigation of the Monetary Neutrality and Rationality Propositions from an International Perspective”, The Review of Economics and Statistics, November 1982, pp. 562 - 571.  Google Scholar
  10. McCallum, Bennett T.: “Rational Expectations and Macroeconomic Stabilization Policy”, Journal of Money, Credit, and Banking, November 1980, pp. 716 - 746.  Google Scholar
  11. Mishkin, Frederic S.: “Does Anticipated Monetary Policy Matter? An Econometric Investigation”, Journal of Political Economy, February 1982a, pp. 22 -51.  Google Scholar
  12. Mishkin, Frederic S.: “Does Anticipated Aggregate Demand Policy Matter? Further Econometric Results”, American Economic Review, September 1982b, pp. 788 - 802.  Google Scholar
  13. Mishkin, Frederic S.: A Rational Expectations Approach to Macroeconometrics, Chicago: The University of Chicago Press, 1983.  Google Scholar
  14. Kmenta, Jan: Elements of Econometrics, New York: Macmillan Publishing Company, 1986.  Google Scholar
  15. Pagan, Adrian: “Econometric Issue in the Analysis of Regressions with Generated Regressors”, International Economic Review, February 1984, pp. 221 - 247.  Google Scholar
  16. Sheffrin, Steven M.: Rational Expectations, Cambridge: Cambridge University Press, 1983.  Google Scholar
  17. Atesoglu, H. Sonmez: “A Rational Expectations Model of Price and Wage Inflation for West Germany”, Weltwirtschaftliches Archiv, Band 124, 1988, Heft 3, pp. 480 -489.  Google Scholar
  18. Barro, Robert J.: “Unanticipated Money Growth and Unemployment in the United States”, American Economic Review, March 1977, pp. 101 – 115.  Google Scholar
  19. Barro, Robert J.: “Unanticipated Money, Output, and the Price Level in the United States”, Journal of Political Economy, August 1978, pp. 549 – 580.  Google Scholar
  20. Barro, Robert J. / Rush, Mark: “Unanticipated Money and Economic Activity”. In: Stanley Fischer (Ed.), Rational Expectations and Economic Policy. Chicago 1980, pp. 23-48.  Google Scholar
  21. Barro, Robert J.: Money, Expectations and Business Cycle, New York: Academic Press, 1981.  Google Scholar
  22. Buscher, Herbert S.: “The Stability of the West German Demand for Money, 1965 – 1982”, Weltwirtschaftliches Archiv, Band 120, Heft 2, 1984, pp. 255 – 278.  Google Scholar
  23. Chow, G. C.: “Tests of Equality between Sets of Coefficients in Two Linear Regressions”, Econometrica, July 1960, pp. 591 – 605.  Google Scholar
  24. Demery, David, Nigel W. Duck, and Simon W. Musgrave: “Unanticipated Money Growth, Output and Unemployment in West Germany, 1964 – 1981”, Weltwirtschaftliches Archiv, Band 120, Heft 2, 1984, pp. 244 – 255.  Google Scholar
  25. Hoffman, Dennis L., and Don E. Schlagenhauf: “An Econometric Investigation of the Monetary Neutrality and Rationality Propositions from an International Perspective”, The Review of Economics and Statistics, November 1982, pp. 562 – 571.  Google Scholar
  26. McCallum, Bennett T.: “Rational Expectations and Macroeconomic Stabilization Policy”, Journal of Money, Credit, and Banking, November 1980, pp. 716 – 746.  Google Scholar
  27. Mishkin, Frederic S.: “Does Anticipated Monetary Policy Matter? An Econometric Investigation”, Journal of Political Economy, February 1982a, pp. 22 -51.  Google Scholar
  28. Mishkin, Frederic S.: “Does Anticipated Aggregate Demand Policy Matter? Further Econometric Results”, American Economic Review, September 1982b, pp. 788 – 802.  Google Scholar
  29. Mishkin, Frederic S.: A Rational Expectations Approach to Macroeconometrics, Chicago: The University of Chicago Press, 1983.  Google Scholar
  30. Kmenta, Jan: Elements of Econometrics, New York: Macmillan Publishing Company, 1986.  Google Scholar
  31. Pagan, Adrian: “Econometric Issue in the Analysis of Regressions with Generated Regressors”, International Economic Review, February 1984, pp. 221 – 247.  Google Scholar
  32. Sheffrin, Steven M.: Rational Expectations, Cambridge: Cambridge University Press, 1983.  Google Scholar

Abstract

A Rational Expectations Model of Inflation for West Germany: Evidence from Quarterly Data

A rational expectations model is developed by using the quarterly data for West Germany. The theoretical model consists of a demand for money function and a Lucas supply function. This model is able to provide a satisfactory description of inflation in West Germany. The results indicate an almost one-to-one positive relation between inflation and anticipated growth in the money supply, and a negative relation between the unanticipated growth in the money supply and inflation.

Table of Contents

Section Title Page Action Price
H. Sonmez Atesoglu: A Rational Expectations Model of Inflation\rfor West Germany: Evidence from Quarterly Data 111
I. Introduction 111
II. A Model of Inflation 112
1. Inflation Equation 112
2. The Money Growth and Interest Rate Growth Forecasting Equations 113
III. Empirical Results 113
1. The Method of Estimation 113
2. The Results for the Forecasting Equations 114
3. The Results for the Inflation Equation 115
4. The Data and the Seasonality 117
5. Tests for Parameter Stability 117
IV. Concluding Remarks 118
Appendix 118
References 119
Zusammenfassung: Ein Modell rationaler Erwartungen zur Erklärung der Inflationin Westdeutschland: Evidenz aufgrund von Vierteljahresdaten 119
Summary: A Rational Expectations Model of Inflation for West Germany: Evidence from Quarterly Data 120
Résumé: Un modèle d'inflation à attentes rationelles pour la République fédérale d'Allemagne: preuve à l'appui de données trimestrielles 120

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