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Replication data for: Two Illustrations of the Quantity Theory of Money: Breakdowns and Revivals

Version
1
Resource Type
Dataset
Creator
  • Sargent, Thomas J.
  • Surico, Paolo
Publication Date
2011-02-01
Description
  • Abstract

    By extending his data, we document the instability of low-frequency regression coefficients that Lucas (1980) used to express the quantity theory of money. We impute the differences in these regression coefficients to differences in monetary policies across periods. A DSGE model estimated over a subsample like Lucas's implies values of the regression coefficients that confirm Lucas's results for his sample period. But perturbing monetary policy rule parameters away from the values estimated over Lucas's subsample alters the regression coefficients in ways that reproduce their instability over our longer sample. (JEL C51, E23, E31, E43, E51, E52)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.101.1.109 (Text)
Publications
  • Sargent, Thomas J, and Paolo Surico. “Two Illustrations of the Quantity Theory of Money: Breakdowns and Revivals.” American Economic Review 101, no. 1 (February 2011): 109–28. https://doi.org/10.1257/aer.101.1.109.
    • ID: 10.1257/aer.101.1.109 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-11

Sargent, Thomas J.; Surico, Paolo (2011): Replication data for: Two Illustrations of the Quantity Theory of Money: Breakdowns and Revivals. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112394V1