An empirical study of rational expectations and the neutrality proposition as applied to Japan and Korea.
Item
-
Title
-
An empirical study of rational expectations and the neutrality proposition as applied to Japan and Korea.
-
Identifier
-
AAI9119648
-
identifier
-
9119648
-
Creator
-
Lee, Yong-Sung.
-
Contributor
-
Adviser: Thom B. Thurston
-
Date
-
1991
-
Language
-
English
-
Publisher
-
City University of New York.
-
Subject
-
Economics, Finance | Economics, Theory
-
Abstract
-
The present study reexamines the MRE hypothesis by reviewing the previous empirical MRE models. Among the models considered, our particular interest goes to those of Barro (1977, 1978), Barro-Rush (1980) and Mishkin (1982, 1983). For this reason, we examine these studies in the context of Japanese and Korean data.;The results obtained reveal that for the Barro-Rush framework the MRE hypothesis is rejected both Japan and Korea except the limiting cases. In the context of the Mishkin model, the MRE hypothesis is not rejected only in the Japanese case where the shorter lags of seven are considered. In this case the acceptance of the MRE hypothesis is due to the presence of the RE.;Nelson and Plosser (1982) argued most macro time series, especially real GNP series, are nonstationary or have a unit root. We have not been able to reject the possibility which real macroeconomic variables for Japan and Korea are nonstationary. This casts some doubts on our results regarding the NP (as well, of course, as Barro's and Mishkin's). However, neither is the evidence conclusive which these data are better described by DS or more general classes of nonstationary process than by some temporary process which would render the testing procedures we have used appropriate.
-
Type
-
dissertation
-
Source
-
PQT Legacy CUNY.xlsx
-
degree
-
Ph.D.
