Modern Monetary Policy Evaluation and the Lucas Critique
DOI:
https://doi.org/10.12775/DP.2015.022Abstrakt
We can divide modern mainstream approaches to monetary policy evaluation in roughly four groups: large-scale Keynesian macroeconometrics, Monetarism, New Classical macroeconomics, and the most recent consensus approach of New Keynesian DSGE modeling. In a brief historical overview it is shown that the overarching element in all four approaches is a distinctly positivistic framework of mathematical model building and testing in light of continuously gathered macro data. It is argued that this is precisely the reason why the modern consensus approach cannot be seen as an adequate solution to the fundamental problem indicated by the Lucas Critique. The latter must not be seen as a critique of any particular modeling approach within modern mainstream macroeconomics, but rather as one addressing its positivistic research program in general. A more radical critique of positivism is presented in order to clarify the core problem implicit in the Lucas Critique and to hint at a more promising route to circumvent it – a route that has been mostly neglected by mainstream economics.Bibliografia
Bakhshi, H., Burriel-Llombart, P., Khan, H. & Rudolf, B. (2003). Endogenous Price Stickiness, Trend Inflation, and the New Keynesian Phillips Curve. Woking Paper 191, International Finance Division, Bank of England.
Bodkin, R. G., Klein, L. R. & Marwah, K. (1991). A History of Macroeconometric Model-Building. Aldershot: Edward Elgar Publishing Ltd.
Bordo, M. D. & Eichengreen, B. (1993). A Retrospective on the Bretton Woods System: Lessons for International Monetary Reform. Chicago and London: The University of Chicago Press.
Boumans, M. J. (2013). Friedman and the Cowles Commission. In Milton Friedman: Contributions to Economics and Public Policy (Forthcoming). In R. Cord & D. Hammond. Oxford: Oxford University Press.
Cagan, P. (1973). The Monetary Dynamics of Hyperinfl ation. In M. Friedman (Ed.), Studies in The Quantity Theory of Money. Chicago: University of Chicago Press.
Caldwell, B. J. (1992). Hayek the Falsifcationist? A Refutation. Research in the History of Economic Thought and Methodology 10(1): 1–15. Retrieved from: http://scholar.google.com/scholar?hl=en&btnG=Search&q=intitle:Hayek+the+Falsifi cationist?+A+Refutation#0. [April 4, 2016].
Caldwell, B. J (2004). Hayek Challenge: An Intellectual Biography of F. A. Hayek. Chicago and London: University of Chicago Press.
Calvo, G. (1983). Staggered Price Setting in a Utility Maximizing Framework. Journal of Monetary Economics 12(3): 383–98.
Christ, C. F. (1953). History of the Cowles Commission 1932–1952. Cowles Commission – A Twenty Year Report.
Christ, C. F (1994). The Cowles Commission’s Contributions to Econometrics at Chicago, 1939–1955. Journal of Economic Literature 32: 30–59.
Christiano, L. J., Eichenbaum, M. & Evans, C. L. (2005). Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy. Journal of Political Economy 113(1): 1–45.
Christiano, L. J., Rostagno, M. & Motto, R. (2010). Financial Factors in Economic Fluctuations. Working Paper Series 1192, European Central Bank.
Ciompa, P. (1910). Grundriss Einer Oekonometrie Und Die Auf Der Nationaloekonomie Aufgebaute Natiurliche Theorie Der Buchhaltung. Lwiw (Lemberg).
Duesenberry, J. S., Fromm, G., Klein, L. R. & Kuh, E. (Eds.)( 1965). The Brookings Quarterly Econometric Model of the United States. Amsterdam: North Holland Publishing Co.
Duesenberry, J. S., Fromm, G., Klein, L. R. & Kuh, E. (Eds.) (1969). The Brookings Model: Some Further Results. Amsterdam: North Holland Publishing Co.
Edge, R., Kiley, M & Laforte, J. P. (2008). Natural Rate Measures in an Estimated DSGE Model of the U.S. Economy. Journal of Economic Dynamics and Control 32: 2512–35.
Erceg, Ch., Guerrieri, L. & Gust, C. (2006). SIGMA: A New Open Economy Model for Policy Analysis. International Journal for Central Banking 2: 1–50.
Ericsson, N. R. & Irons, J. S. (1995). The Lucas Critique in Practice: Theory without Measurement. International Finance Discussion Papers, No. 506.
Evans, M. K. (1963). A Postwar Quarterly Model of the United States Economy, 1948-1962. University of Pennsylvania: Economics Research Services Unit.
Evans, M. K. & Klein, L. R. (1967). The Wharton Econometric Forecasting Model. University of Pennsylvania: Wharton School of Finance and Commerce.
Fischer, S. (1996). Robert Lucas’s Nobel Memorial Prize. The Scandinavian Journal of Economics 98(1): 11–31.
Friedman, M. (1957). A Theory of the Consumption Function. Princeton University Press.
Friedman, M. (1960). A Program for Monetary Stability. New York: Fordham University Press.
Friedman, M. (1968). The Role of Monetary Policy. American Economic Review 58(1): 1–17.
Friedman, M. (1977). Nobel Lecture: Inflation and Unemployment. The Journal of Political Economy 85(3): 451–72.
Friedman, M. (2000). In Depth with Milton Friedman (Television Interview). Retrieved from https://www.youtube.com/watch?v=OZWsPgBtGDs [April 4, 2016].
Friedman, M. (2008). The Methodology of Positive Economics. In D. M. Hausman (Ed.),The Philosophy of Economics – An Anthology (pp 145–178.). Cambridge University Press.
Friedman, M. & Kuznets, S. (1954). Incomes from Independent Professional Practice. New York: NBER.
Friedman, M. & Schwartz, A. J. (1963). A Monetary History of the United States, 1867–1960. Princeton University Press.
Frisch, R. (1926). Sur Un Probleme D’économie Pure. Norsk Matematisk Forenings Skrifter Series 1(16): pp. 1–40.
Frisch, R. (1936). Note on the Term ‘Econometrics’. Econometrica 4(1): p. 95.
Fromm, G. & Klein, L. R. (Eds.) (1975). The Brookings Model: Perspective and Recent Developments. Amsterdam: North Holland Publishing Co.
Fromm, G. & Taubman, P. (1968). Policy Simulations with an Econometric Model. Washington, DC: The Brookings Institution.
Galí, J. (2008). Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework. Princeton and Oxford: Princeton University Press.
Galí, J. & Gertler, M. (2007). Macroeconomic Modeling for Monetary Policy Evaluation. Journal of Economic Perspectives 21(4): pp. 25–45.
Gertchev, N. (2007). A Critique of Adaptive and Rational Expectations. The Quarterly Journal of Austrian Economics 10(4): pp. 313–29.
Goodfriend, M. & King, R G. (1997). The New Neoclassical Synthesis and the Role of Monetary Policy. NBER Macroeconomic Annual 12: pp. 231–96.
Goutsmedt, A., Pinzon-Fuchs, E., Renault, M. & Serg, F. (2015). Criticizing the Lucas Critique: Macroeconometricians’ Response to Robert Lucas. Documents de travail du Centre d’Economie de la Sorbonne.
Haitovsky, Y., Treyz, G. & Su, V. (1974). Forecasts with Quarterly Macroeconomic Models. NBER.
Hall, R. E. (1996). Robert Lucas, Recipient of the 1995 Nobel Memorial Prize in Economics. The Scandinavian Journal of Economics 98(1): pp. 33–48.
Harris, S. E. (2010). The New Economics: Keynes’ Infl uence on Theory and Public Policy. ed. Seymour E. Harris. Kessinger Publishing, LLC.
Hausman, D. M.(2008). The Philosophy of Economics – An Anthology. 3rd ed. ed. Daniel M. Hausman. Cambridge: Cambridge
University Press.
Hayek, F. A. von. (1937). Economics and Knowledge. Economica 4(13): pp. 33–54.
Hazlitt, H. (1959). The Failure of the “New Economics” – An Analysis of the Keynesian Fallacies. D. Van Nostrand Company, Inc.
Hicks, J. R. (1937). Mr. Keynes and the ‘Classics’; A Suggested Interpretation. Econometrica 5(2): pp. 147–59.
Hoppe, H. H. (1983). Kritik Der Kausalwissenschafilichen Sozialforschung – Untersuchungen Zur Grundlegung von Soziologie Und Ökonomie. Opladen: Westdeutscher Verlag.
Hoppe, H. H. (2007). Economic Science and the Austrian Method. Auburn, AL: Ludwig von Mises Institute.
Hülsmann, J. G. (2007). Mises: The Last Knight of Liberalism. Auburn, AL: Ludwig von Mises Institute.
Hülsmann, J. G. (2008). The Ethics of Money Production. Auburn, AL: Ludwig von Mises Institute.
Hülsmann, J. G.(Ed.) (2012). Theory of Money and Fiduciary Media – Essays in Celebration of the Centennial. Auburn,AL: Ludwig von Mises Institute.
Hülsmann, J. G. (2013). Krise Der Infl ationskultur. München: FinanzBuch Verlag.
Hurtado, S. (2014). “DSGE Models and the Lucas Critique.” Economic Modelling 44: S12–19. Retrieved from: http://www.sciencedirect.com/science/article/pii/S0264999313005506 [April 4, 2016].
Hutchison, T. W. (1981). The Politics and Philosophy of Economics: Marxians, Keynesians and Austrians. Oxford: Basil Blackwell.
Kates, S. (2009). Say’s Law and the Keynesian Revolution – How Macroeconomic Theory Lost Its Way. Edward Elgar Publishing.
Keynes, J. M. (1936). The General Theory of Employment , Interest , and Money. London: Macmillan.
Klein, L. R. (1950a). Economic Fluctuations in the United States, 1921–1941. New York: John Wiley & Sons.
Klein, L. R.( 1950b). The Keynesian Revolution. London: Macmillan.
Klein, L. R. (1964). A Postwar Quarterly Model : Description and Applications. In Models of Income Determination, Princeton University Press, pp. 11–58.
Klein, L. R. (1980). Lawrence R. Klein – Biographical. In Les Prix Nobel 1980, Stockholm: Almqvist and Wiksell International. Retrieved from: http://www.nobelprize.org/nobel_prizes/economic-sciences/laureates/1980/klein-bio.html [November 15, 2015].
Klein, L. R (1986). Lawrence Klein. In Lives of the Laureates, eds. W. Breit and R. W. Spencer. Cambridge, MA: MIT Press, pp. 21–41.
Klein, L. R.( 1991). “Econometric Contributions of the Cowles Commission, 1944-1947: A Retrospective View.” Banca Nazionale del Lavoro Quarterly Review, 177: pp. 107–17.
Klein, L. R (1992). My Professional Life Philosophy. In Eminent Economists: Their Life Philosophies, ed. M. Szenberg. Cambridge: Cambridge University Press, pp. 180–189.
Klein, L. R. (1997). Selected Papers of Lawrence R. Klein: Theoretical Reflections and Econometric Applications. ed. Kanta Marwah. World Scientifi c Publishers Co. Pte. Ltd.
Klein, L. R. & Goldberger, A. S. (1955). An Econometric Model of the United States, 1929–1952. Amsterdam: North-Holland Publishing Company.
Kydland, F. E. & Prescott, E. C. (1982). Time to Build and Aggregate Fluctuations. Econometrica 50(6):pp. 1345–70.
Lucas, R. E. (1972). Expectations and the Neutrality of Money. Journal of Economic Theory 4: pp. 103–24.
Lucas, R. E. (1977). Understanding Business Cycles. Carnegie-Rochester Conference Series on Public Policy, Elsevier 5(1):pp. 7–29.
Lucas, R. E. (1983). “Econometric Policy Evaluation: A Critique.” In Theory, Policy, Institutions: Papers from the Carnegie-Rochester Conference Series on Public Policy, eds. Karl Brunner and Alan Meltzer. North-Holland: Elsevier Science Publishers B.V., pp. 257–84.
Lucas, R. E. (1994). Review of Milton Friedman and Anna J. Schwartz’s A Monetary History of the United States, 1867–1960. Journal of Monetary Economics 34:pp. 5–16.
Lucas, R. E. (1996). Nobel Lecture: Monetary Neutrality. The Journal of Political Economy 104(4): pp. 661–82. Retrieved from: http://www.jstor.org/stable/2138880 [April 4, 2016].
Miller, P. J. (Ed.) 1994. The Rational Expectations Revolution: Readings from the Front Line. Cambridge, MA: MIT Press.
Mises, L. von. (1933). Grundprobleme Der Nationalökonomie: Untersuchungen über Verfahren, Aufgaben Und Inhalt Der Wirtschafts Und Gesellschaftslehre. Jena: Verlag von Gustav Fischer (PDF-Version von Gerhard Grasruck für www.mises.de).
Mises, L. von. (1953). The Theory of Money and Credit. New Haven: Yale University Press.
Mises, L. von. (1962). The Ultimate Foundation of Economic Science – An Essay on Method. New York: D. Van Nostrand Company, Inc.
Mises, L. von. (1998). Human Action: A Treatise on Economics. Auburn, AL: Ludwig von Mises Institute.
Mises, L. von. (2007). Theory and History: An Interpretation of Social and Economic Evolution. Auburn, AL: Ludwig von Mises Institute.
Modigliani, F. (1944). “Liquidity Preference and the Theory of Interest and Money.” Econometrica 12(1): pp. 45–88.
Muth, J. F. (1961). Rational Expectations and the Theory of Price Movements. Econometrica 29(3): pp. 315–35.
Nerlove, M. (1958). Adaptive Expectations and Cobweb Phenomena. Quarterly Journal of Economics 72(2): pp. 227–40.
Patinkin, D. (1976). Keynes and Econometrics: On the Interaction between the Macroeconomic Revolutions of the Interwar Period. Econometrica 44(6): pp. 1091–1123.
Phelps, E. S. (1967). Phillips Curves, Expectations of Infl ation and Optimal Unemployment over Time. Economica 34(135): pp. 254–81.
Phelps, E. S. (1968). Money-Wage Dynamics and Labor-Market Equilibrum.
Journal of Political Economy 76(4): pp. 678–711.
Phillips, A. W. (1958). The Relation between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861-1957.pdf. Economica (November).
Popper, K. R.( 2002). The Poverty of Historicism. London and New York: Routledge Classics.
Russell, B. (1997). Religion and Science. New York and Oxford: Oxford University Press. Salerno, J. T. (1993). Mises and Hayek Dehomogenized. The Review of Austrian Economics 6(2): pp. 113–46.
Salerno, J. T. (2010). Money, Sound and Unsound. Auburn, AL: Ludwig von Mises Institute.
Samuelson, P. A. & Nordhaus, W D. (2009). Economics. 19th ed. McGraw-Hill Education.
Samuelson, P. A. & Solow, R M. (1960). Analytical Aspects of Anti-Inflation Policy. American Economic Review 50(2):pp.
–94.
Sargent, T. J. (1981). Interpreting Economic Time Series. Journal of Political Economy 89(2): pp. 213–48. Retrieved from: http://www.jstor.org/stable/1833309 [April 4, 2016].
Sargent, T. J. (2015). Robert E. Lucas Jr.’s Collected Papers on Monetary Theory. Journal of Economic Literature 53(1):pp. 43–64.
Smets, F. (2010). DSGE Models and Their Use at the ECB. SERIEs 1: pp. 51–65.
Smets, F. and Wouters, R. (2003). An Estimated Dynamic Stochastic General Equilib- Rium Model of the Euro Area. Journal of the European Economic Association 1(5): pp. 1123–1175.
Smets, F. and Wouters, R. (2007). Shocks and Frictions in U.S. Business Cycles: A Bayesian DSGE Approach. American Economic Review 97(3): pp. 586–606.
Tinbergen, J. (1939). Statistical Testing of Business-Cycle Theories, Vol. II Business Cycles in the USA 1919–1932. Geneva: League of Nations.
Tobin, J. (1974). The New Economics One Decade Older. Princeton: Princeton University Press.
Visco, I. (2014). Lawrence R. Klein: Macroeconomics, Econometrics and Economic Policy.” Journal of Policy Modeling 36(4): pp. 605–28. Retrieved from: http://www.sciencedirect.com/science/article/pii/S016189381400043X.[April 4, 2016].
Vroey, M. De & Malgrange, P. (2010). From the Keynesian Revolution to the Klein-Goldberger Model : Klein and the Dynamization of Keynesian Theory. Institut de Recherches Économiques et Sociales de l’Université catholique de Louvain – Discussion Paper 2010–19.
Vroey, M. De & Malgrange, P. (2011). The History of Macroeconomics from Keynes’s General Theory to the Present. Institut de Recherches Économiques et Sociales de l’Université catholique de Louvain – Discussion Paper 2011–28. Retrieved from: http://sites.uclouvain.be/econ/DP/IRES/2011028.pdf [April 4, 2016].
Walsh, C. E.( 2010). Monetary Theory and Policy. Massachusetts Institute of Technology.
Webb, R. H. (1999). Two Approaches to Macroeconomic Forecasting. Economic Quarterly-Federal Reserve Bank of Richmond 85(3): pp. 23–40.
Woodford, M. (1999).Revolution and Evolution in Twentieth-Century Macroeconomics.” Presented at a conference, Frontiers of the Mind in the Twenty-First Century, U.S. Library of Congress, Washington, D.C.
Woodford, M. (2003). Interest and Prices: Foundations of a Theory of Monetary Policy. Princeton and Oxford: Princeton University Press.
Pobrania
Opublikowane
Jak cytować
Numer
Dział
Statystyki
Liczba wyświetleń i pobrań: 454
Liczba cytowań: 0