The Hyperinflation Model of Money Demand Revisited
AbstractIn this paper we propose a test of the hyperinflation model of money demand which is valid under any assumption concerning agents' expectations, subject only to the restriction that forecasting errors are stationary. It is also demonstrated that highly efficient parameter estimates can be obtained, and restrictions on them tested, under the same weak assumption. Finally, it is shown how these first-stage estimates can be utilized to test the stronger assumption of rational expectations. The arguments are illustrated by analysis of the classic data on European hyperinflations previously analyzed by Cagan (1956), Barro (1970) and Abel, Dornbusch, Huizinga and Marcus (1979). Copyright 1991 by Ohio State University Press.
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Bibliographic InfoArticle provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.
Volume (Year): 23 (1991)
Issue (Month): 3 (August)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879
Other versions of this item:
- Taylor, Mark P, 1990. "The Hyperinflation Model of Money Demand Revisited," CEPR Discussion Papers 473, C.E.P.R. Discussion Papers.
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