Lucas's signal-extraction model. A finite state exposition with aggregate real shocks

Neil Wallace

doi:10.1016/0304-3932(92)90005-M

Lucas's signal-extraction model. A finite state exposition with aggregate real shocks

Neil Wallace

Economics

Research output: Contribution to journal › Article › peer-review

12 Scopus citations

Abstract

This is a version of Lucas's (1972) 'Expectations and the Neutrality of Money' with finite supports for the exogenous random variables and with aggregate real shocks. The finite supports simplify the proofs and permit solutions for examples to be computed. The presence of aggregate shocks permits the model to display output-aggregate demand and output-inflation correlations that more closely duplicate those found in some data sets, correlations that have been interpreted as evidence against the model.

Original language	English (US)
Pages (from-to)	433-447
Number of pages	15
Journal	Journal of Monetary Economics
Volume	30
Issue number	3
DOIs	https://doi.org/10.1016/0304-3932(92)90005-M
State	Published - Dec 1992

All Science Journal Classification (ASJC) codes

Economics and Econometrics
Finance

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10.1016/0304-3932(92)90005-M

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abstract = "This is a version of Lucas's (1972) 'Expectations and the Neutrality of Money' with finite supports for the exogenous random variables and with aggregate real shocks. The finite supports simplify the proofs and permit solutions for examples to be computed. The presence of aggregate shocks permits the model to display output-aggregate demand and output-inflation correlations that more closely duplicate those found in some data sets, correlations that have been interpreted as evidence against the model.",

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Lucas's signal-extraction model. A finite state exposition with aggregate real shocks

Abstract

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