Policy implications of the Lucas Critique empirically tested along the global financial crisis

dc.WoS.categoriesEconomicsen_US
dc.contributor.authorŞimşek, Esra
dc.contributor.authorKarimova, Amira
dc.contributor.authorOrhan, Mehmet
dc.date.accessioned2020-12-21T12:02:25Z
dc.date.available2020-12-21T12:02:25Z
dc.date.issued2020-01
dc.description.abstractThis study is the first attempt to facilitate the substantial change in post-crisis monetary policy of the Fed to test the validity of Lucas Critique toward exploring implications of such changes for policymaking. Global financial crisis, asking for fundamental regime alterations presented an invaluable opportunity to test the empirical validity of Lucas Critique. We make use of quarterly US data over 1990-2015 to test for superexogeneity, the rejection of which lends support to Lucas Critique. We define the marginal models for wealth, GDP and Treasury Bill rate to construct the conditional model of money demand following Hendry. Our results reject superexogeneity of the policies and report the support for Lucas Critique. We discuss about the details and consequences of the monetary policy followed to suggest arguments to prolonging debates on policy discussions. (C) 2019 The Society for Policy Modeling. Published by Elsevier Inc. All rights reserved.en_US
dc.fullTextLevelFull Texten_US
dc.identifier.doi10.1016/j.jpolmod.2019.06.003en_US
dc.identifier.issn1873-8060
dc.identifier.issn0161-8938
dc.identifier.scopus2-s2.0-85070339801en_US
dc.identifier.urihttps://hdl.handle.net/11411/2932
dc.identifier.urihttps://doi.org/10.1016/j.jpolmod.2019.06.003
dc.identifier.wosWOS:000526970800009en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.indekslendigikaynakPubMeden_US
dc.issue1en_US
dc.language.isoenen_US
dc.nationalInternationalen_US
dc.numberofauthors3en_US
dc.pages153-172en_US
dc.publisherElsevieren_US
dc.relation.ispartofJournal of Policy Modelingen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectLucas Critiqueen_US
dc.subjectMonetary policyen_US
dc.subjectSuperexogeneityen_US
dc.subjectInvarianceen_US
dc.subjectRational expectationsen_US
dc.titlePolicy implications of the Lucas Critique empirically tested along the global financial crisisen_US
dc.typeArticleen_US
dc.volume42en_US

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