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Testing the rational expectations and structural neutrality hypotheses: Some econometric results for Austria 1965(1)–1979(4)

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Zusammenfassung

Zwei zentrale Hypothesen der modernen Makroökonomik werden für Österreich an Hand von Quartalsdaten (I. Quartal 1965 bis IV. Quartal 1989) empirisch getestet: die Hypothese rationaler Erwartungen und die Hypothese struktureller Neutralität.

Die erstere besagt, daß die Wirtschaftssubjekte ihre Erwartungen hinsichtlich der künftigen Geldmenge in Kenntnis und auf der Basis der stochastischen Struktur der Geldpolitik bilden. Die letztere besagt, daß — wie immer die Erwartungsbildung sei — wertgleiche Veränderungen der erwarteten und der tatsächlichen Geldmenge keinerlei Einfluß auf die reale Seite der Volkswirtschaft (z. B. auf den Output oder die Beschäftigung) haben. Beide Hypothesen implizieren ganz bestimmte Restriktionen hinsichtlich der Parameter des zugrundeliegenden Modells.

Es wird ein einfaches Modell entwickelt und FIML-Schätzwerte errechnet. In der Folge werden — der Hierarchie der implizierten Restriktionen entsprechend — die beiden erwähnten Hypothesen in einem geschachtelten Verfahren mit Likelihood-Ratio-Tests getestet (nested tests).

Das Modell enthält die Angebotshypothese in autoregressiver Form und nicht — wie sonst üblich — in der angenäherten Form gleitender Durchschnitte.

Die Hypothese rationaler Erwartungen muß verworfen werden. Der Test der Hypothese struktureller Neutralität hat danach auf Grund des geschachtelten Testverfahrens nur beschränkte Gültigkeit. Die Likelihood-Ratio-Werte deuten jedoch darauf hin, daß strukturelle Neutralität akzeptiert werden kann.

Weiters wurde beobachtet, daß die endogen verzögerte Variable in der Outputgleichung nicht signifikant ist.

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Authors and Affiliations

  1. Department of Economics, University of Birmingham, B15 2TT, Birmingham, England

    James L. Ford

Authors
  1. Michael J. Driscoll
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  2. James L. Ford
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  3. Wilhelm Kohler
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  4. Andrew W. Mullineux
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Driscoll, M.J., Ford, J.L., Kohler, W. et al. Testing the rational expectations and structural neutrality hypotheses: Some econometric results for Austria 1965(1)–1979(4). Empirica 10, 3–13 (1983). https://doi.org/10.1007/BF00928917

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