Studies in Monetary Economics

货币经济学研究

• 批准号: 8808835
• 负责人: Robert Lucas
• 金额: $ 11.06万
• 依托单位: University of Chicago
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1988
• 资助国家: 美国
• 起止时间: 1988-07-15 至 1991-12-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=8808835&HistoricalAwards=false
• 关键词: Studies; Monetary; Economics

This project continues work on important issues in the field of monetary economics and business cycle theory. The project consists of four parts: 1) research on how well simple regularities or laws captured by the quantity theory of money can account for movements in prices, exchange rates and interest rates; 2) development of a theory for explaining the large observed differences between movements in asset prices and movements in their associated fundamentals; 3) estimating the fraction of output variability that can be attributed to monetary as opposed to real disturbances; and 4) estimating the social cost of preventable economic instability. Previous work by the investigator demonstrated that there was a remarkably stable, simple relationship between an economy's money supply, its long run inflation rate and the average level of nominal interest rates. Yet so many other forces impinge on prices and interest rates in the short run that agreement on these long run average relationships imply virtually nothing about immediate questions of macroeconomic policy. This project builds on this past work by extending the study of long run regularities to include exchange rates and by studying the "residuals," the movements in prices, interest rates and exchange rates that are unexplained by the economy's money supply. This work should provide important new insights into the role played by money in the macro-economy. The investigator relates the observation that interest rates are much more variable in the short run than predicted by the long term relationship between money and interest rates to a growing body of evidence that stock market prices are more variable than predicted by movements in their fundamentals. Why are financial markets so volatile? This project develops a new theory of "liquidity constrained" trading in financial markets that could explain these puzzles and also provides a framework for systematic study of such important events as the stock market crash in October, 1987.

该项目继续研究货币经济学和商业周期理论领域的重要问题。 该项目由四个部分组成：1）研究数量理论捕获的简单规律或法律的研究可以解释价格，汇率和利率的变动； 2）开发一种理论，用于解释资产价格的运动与其相关基本面的变动之间的巨大差异； 3）估计可以归因于货币而不是实际干扰的输出变异性的比例； 4）估计可预防经济不稳定的社会成本。 研究人员的先前工作表明，经济货币供应，长期通货膨胀率和名义利率的平均水平之间存在着非常稳定的简单关系。 然而，在短期内，对这些长期平均关系的同意在短期内促进了价格和利率，这几乎没有任何关于宏观经济政策问题的问题。 该项目以过去的工作为基础，通过将长期规律的研究扩展到包括汇率以及研究“残差”，价格，利率和汇率的变动，这些变化无法解释经济货币供应。 这项工作应该为货币在宏观经济中所扮演的角色提供重要的新见解。 研究人员将短期运行中的利率与越来越多的证据相比，股票市场价格比其基本面运动所预测的要多可变的证据要多得多。 为什么金融市场如此波动？ 该项目在金融市场中开发了一种新的“流动性限制”交易理论，可以解释这些难题，还为系统研究框架提供了对1987年10月股市崩溃等重要事件的框架。