Studies in Monetary Economics

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。该项目包括四个部分：1)研究货币数量理论捕获的简单规律或定律如何很好地解释价格、汇率和利率的变动；2)发展一种理论来解释观察到的资产价格变动与其相关基本面变动之间的巨大差异；3)估计可归因于货币而非实际干扰的产出可变性的比例；4)估计可预防的经济不稳定的社会成本。研究者之前的研究表明，一个经济体的货币供应量、长期通胀率和名义利率的平均水平之间存在着一种非常稳定、简单的关系。然而，短期内影响价格和利率的因素还有很多，因此，就这些长期平均关系达成一致，实际上并不意味着宏观经济政策的直接问题。本项目建立在以往工作的基础上，扩展了对长期规律的研究，包括汇率，并研究了“残差”，即经济中货币供应无法解释的价格、利率和汇率的变动。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。研究者将观察到的利率在短期内比货币和利率之间的长期关系所预测的变化更大，与越来越多的证据表明股票市场价格比其基本走势所预测的变化更大联系起来。金融市场为何如此动荡？本项目发展了金融市场中“流动性受限”交易的新理论，可以解释这些困惑，也为系统研究1987年10月股市崩盘等重要事件提供了一个框架。

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.