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Estimating the long-run relationship between interest rates and inflation: A response to McCallum

  • Summers, Lawrence H.

This note demonstrates that Bennett McCallum's recent critique of low frequency estimates of macro-economic relationships is of little empirical significance. It also demonstrates that readily available and frequently used techniques can be used to diagnose the problem McCallum raises. Finally, it shows that the standard critique of expectational distributed lags is not warranted once the role of learning by economic agents is recognized.

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File URL: http://www.sciencedirect.com/science/article/B6VBW-4CB77BB-1V/2/15de4901af55a1f19f10c379f6cf918b
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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 18 (1986)
Issue (Month): 1 (July)
Pages: 77-86

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Handle: RePEc:eee:moneco:v:18:y:1986:i:1:p:77-86
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505566

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  1. R. F. Engle, 1972. "Band Spectrum Regressions," Working papers 96, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Sargent, Thomas J, 1971. "A Note on the 'Accelerationist' Controversy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 3(3), pages 721-25, August.
  3. McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
  4. Martin Feldstein & Lawrence Summers, 1983. "Inflation, Tax Rules, and the Long-term Interest Rate," NBER Chapters, in: Inflation, Tax Rules, and Capital Formation, pages 153-185 National Bureau of Economic Research, Inc.
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