Course Related Materials
(A) Lucas Critique and Econometric Policy Evaluation (References: (i) Econometric Policy Evaluation: A Critique, by Robert E. Lucas Jr., in Studies in Business Cycle Theory by Robert E. Lucas Jr.; (ii) Class Notes on Lucas Critique by Leigh Tesfatsion.)
Journal Article(s): Lucas Critique
(1) An Empirical Critique of Lucas Critique (T.D. Stanley )
(2) Assessing the Lucas Critique in Monetary Policy Models (Glen D. Rudebusch)
(3) Testing for the Lucas Critique: A Quantitative Investigation (Jesper Lindé )
(4) Are 'Deep' Parameters Stable? The Lucas Critique as an Empirical Hypothesis (Arturo Estrella and Jeffrey C. Fuhrer)
(4) The Lucas Critique and the Stability of Empirical Models (Thomas A. Lubik and Paolo Surico)
(5) Nobel Laureate Robert E. Lucas, Jr.: Architect of Modern Macroeconomics (V. V. Chari)
(B) Expectations
(i) Lucas's Misperceptions Theory (References: (i) Some International evidence on Output-Inflation Tradeoffs (Robert E. Lucas, Jr.); (ii) Section 9.4, Chapter 9, Monetary Economics: Theory and Policy, by Bennett T. McCallum.)
Journal Article(s): The Lucas Supply Curve
(i) Econometric Testing of the Natural Rate Hypothesis (Robert E. Lucas, Jr., in The Econometrics of Price Determination, O. Eckstein, ed. Washington: Board of Governors of the Federal Reserve System, 1972. Also published in the Studies in Business Cycle Theory by Robert E. Lucas Jr., Chapter 5, 90-103.)
(ii) Expectation Formulations and its Policy Implications
(a) Adaptive Versus Rational Expectations (Reference: Chapter 8, Monetary Economics: Theory and Policy, by Bennett T. McCallum.)
Journal Article(s): Lucas Supply Curve and Policy Irrelevance
(1) Rational Expectations and the Theory of Price Movements (John F. Muth)
(2) Expectations and the Neutrality of Money (Robert E. Lucas, Jr. , Journal of Economic Theory, Vol. 4 (April), pp. 103-24, 1972.)
(3) Rational Expectations, the Real Rate of Interest and the Natural Rate of Unemployment (Thomas J. Sargent)
(4) Unanticipated Money Growth and Unemployment in the United States (Robert J. Barro)
(5) Rational Expectations and the Role of Monetary Policy (by Robert J. Barro, Journal of Monetary Economics, Vol. 2 (January), pp. 1-32, 1976.)
(6) Unanticipated Money, Output, and the Price Level in the United States (Robert J. Barro)
(7) A Linearized Version of Lucas's Neutrality Model (Bennett T. McCallum)
(iii) Solution of Rational Expectations Models and Policy Neutrality
(a) Solving Rational Expectation Models (McCallum's Minimum State Variable (MSV) Approach) (Reference: (i) Chapters 8 and 11, Monetary Economics: Theory and Policy, by Bennett T. McCallum.)
Journal Article(s): Solving Rational Expectations Models
(1) On Non-Uniqueness of Rational Expectations Models: An Attempt at Perspective (Bennett T. McCallum) (NBER Working Paper Version) (Published as: On Non-Uniqueness of Rational Expectations Models: An Attempt at Perspective, Journal of Monetary Economics, Vol. 11 (March), pp.139-168, 1983.)
(iv) Wage Rigidities and Rational Expectations Models
(i) Staggered Wage Contracts (Reference: Chapter 9, Section: 9.6, Monetary Economics: Theory and Policy, by Bennett T. McCallum.)
Journal Article(s): Wage Stickiness
(a) Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule (Stanley Fischer)
(b) Staggered Wage Setting in a Macro Model (John B. Taylor)
(C) Business Cycles
(i) Business Cycle Facts and Real Business Cycle (References: (1) Class Notes on Business Cycle by Christian Zimmermann, (2) Economic Growth and Business Cycles, by Thomas F. Cooley and Edward C. Prescott, in Thomas F. Cooley edited, Frontiers of Business Cycle Research, Chapter-1.)
Journal Article(s): Business Cycle Facts and Real Business Cycle
(a) Time to Build and Aggregate Fluctuations (Finn E. Kydland and Edward C. Prescott) - (The article that started it all!)
(b) Indivisible Labor and the Business Cycle (Gary D. Hansen, Journal of Monetary Economics, 1985, vol. 16, 309-327.)
(c) Macroeconomic Fluctuations in Developing Countries: Some Stylized Facts (Pierre-Richard Agénor, C. John McDermott and Eswar S. Prasad)
(d) A Toolkit for Analyzing Nonlinear Dynamic Stochastic Models Easily (Harald Uhlig)
(ii) Money and Business Cycle
(a) In Flexible Environments (References: (1) Chapters 1, 2, and 3 of Monetary Theory and Policy by Carl E. Walsh, (2) Money and the Business Cycle, by Thomas F. Cooley and Gary D. Hansen, in Thomas F. Cooley edited, Frontiers of Business Cycle Research, Chapter-3.)
(b) With Nominal Rigidities (References: (1) Chapter 8 of Monetary Theory and Policy by Carl E. Walsh.)
Journal Article(s): Money and Business Cycle
(a) Vector Autoregressions (James H. Stock and Mark W. Watson)
(b) Monetary Policy Shocks: What have we Learned and to what End? (Lawrence Christiano, Martin Eichembaum, and Charles Evans)
(c) The Inflation Tax in a Real Business Cycle Model (Thomas Cooley and Gary D. Hansen)
Contact Details:
Room 2-04, Tukkiewerf Building, Department of Economics,
University of Pretoria,
Pretoria 0002, South Africa.
Tel: +27 12 420 3460, E-mail: Rangan dot Gupta () up () ac () za.