期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2000
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：This paper recasts Temin's (1976) question of whether monetary forces
caused the Great Depression in a modern time series framework. We adopt
a Bayesian estimation and forecasting algorithm to evaluate the e
ects of
monetary policy against nonmonetary alternatives, allowing for time-varying
parameters and coecient updating. We nd that the predictive power of
monetary policy is very small for the early phase of the depression and breaks
down almost entirely after 1931. During the propagation phase of 1930-31,
monetary policy is able to forecast correctly at short time horizons put in-
variably predicts recovery at longer horizons. Con rming Temin (1976), we
nd that nonmonetary leading indicators, particularly on residential construc-
tion and equipment investment, have impressive predictive power. Already in
September 1929, they forecast about two thirds of downturn correctly. Our
time varying framework also permits us to examine the stability of the dy-
namic parameter structure of our estimates. We nd that the monetary im-
pulse responses exhibit remarkable structural instability and react clearly to
changes in the monetary regime that occurred during the depression. We nd
this phenomenon to be discomforting in the light of the Lucas (1976) critique,
as it suggests that the money/income relationship may itself have been en-
dogenous to policy and was not in the set of deep parameters of the U.S.
economy. Given the instability and poor predictive power of monetary instru-
ments and the strong showing of leading indicators on real activity, we remain
skeptical with regard to a monetary interpretation of the Great Depression in
the U.S.
