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Macroeconomic Rationality and Lucas' Misperceptions Model: Further Evidence from Forty-One Countries

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  • Nicholas Aspergis

    (University of Macedonia)

  • Stephen M. Miller

    (University of Nevada, Las Vegas, and University of Connecticut)

Abstract

Several researchers have examined Lucas's misperceptions model as well as various propositions derived from it within a cross-section empirical framework. The cross-section approach imposes a single monetary policy regime for the entire period. Our paper innovates on existing tests of those rational expectations propositions by allowing the simultaneous effect of monetary and short run aggregate supply (oil price) shocks on output behavior and the employment of advanced panel econometric techniques. Our empirical findings, for a sample of 41 countries over 1949 to 1999, provide evidence in favor of the majority of rational expectations propositions.

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Bibliographic Info

Paper provided by University of Connecticut, Department of Economics in its series Working papers with number 2003-26.

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Length: 22 pages
Date of creation: Aug 2003
Date of revision:
Publication status: Published in Journal of Economics and Business, May-June 2004
Handle: RePEc:uct:uconnp:2003-26

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Keywords: Lucas's misperception model; rational expectations propositions; real shocks; panel data;

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References

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  1. Perron, P., 1986. "Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach," Cahiers de recherche 8650, Universite de Montreal, Departement de sciences economiques.
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Cited by:
  1. Cone, Thomas E., 2008. "Optimal information acquisition and monetary policy," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1370-1389, December.

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