The Review of Economics and Statistics Vol. 73 No. 1 1991
Money, Output, and the Expected Real Interest Rate
Abstract
This paper tests the exclusion of lagged growth rates of money and output from regression equations, with serially correlated disturbances, for the expected real interest rate. The authors empirical approach is an extension of the empirical strategies of Eugene F. Fama (1975) and Frederic S. Mishkin (1981)--which invoke the orthogonality of the inflation forecast error to predetermined regressors under the maintained hypothesis of rational expectations. They discuss the implications of their tests for simple real-business-cycle models.
- DOI
- 10.2307/2109681
- Volume
- 73
- Issue
- 1
- Pages
- 10
- Sources
- crossref openalex