Politická ekonomie
Politická ekonomie
Politická ekonomie
TEORETICKÝ ČASOPIS • ISSN 0032-3233 (Print) • ISSN 2336-8225 (Online)

Politická ekonomie Vol. 63 No. 1

Rakouská teorie hospodářského cyklu: VAR analýza pro USA v letech 1978–2013

DOI: https://doi.org/10.18267/j.polek.988

[plný text (PDF)]

Martin Komrska

The aim of this paper is to empirically investigate the explanatory power of Austrian business cycle theory (ABCT). My dataset consists of US quarterly time series within the period 1978–2013. Following Wainhouse (1984), Keeler (2001) and others I employ Granger causality as one of the primary tools of the analysis. Furthermore I also add impulse response functions to analyse the observed relations in closer detail. Two main hypotheses were tested. First one analyses how changes in interest rate affects relative proportion of investment and consumption outlays. Second hypothesis investigates how labour resources are reallocated as a consequence of an increase in interest rate. In both hypotheses, two concepts of interest rate were employed. Application of “explicit” interest rate does not seem to generate significant results. On the contrary, results fit in the Austrian story much better when implicit rate is employed. The traditional version of ABCT, which relies more on explicit interest rates, seems to suffer from invalid assumption about the allocation of credit during expansionary phase of business cycle.

JEL klasifikace: C32, E32, E43

Reference:
AMATO, J. D. 2005. The Role of the Natural Rate of Interest in Monetary Policy. Bank for International Settlements Working Paper. 2005, No. 171.

BERNANKE, B. 2010. Monetary Policy and the Housing Bubble. Paper for the Annual Meeting of the American Economic Association, Atlanta, Georgia, January 2010.

BISMAS, F.; MOUGEOT, C. 2009. Austrian Business Cycle Theory: Empirical Evidence. Review of Austrian Economics. 2009, Vol. 22, pp. 241–257.

BJERKENES, H.; KIIL,H.; ANKER-NILLSEN, P. 2010. Austrian Economics: Application on Norwegian Business Cycles. Norwegian School of Economics and Business Administration Master Thesis. 2010.

BJORNLAND, H. C.; LEITEMO, K.; MAIH, J. 2011. Estimating the Natural Rates in a Simple New Keynesian Framework. Empirical Economics. 2011, Vol. 40, pp. 755–777.

CARILLI, A. M.; DEMPSTER, G. M. 2008. Is the Austrian Business Cycle Theory still Relevant? Review of Austrian Economics. 2008, Vol. 21, pp. 271–181.

COVEY, T.; BESSLER, D. A. 1992. Testing for Granger‘s Full Causality. The Review of Economics and Statistics. 1992, Vol. 74, No. 1, pp. 146–153.

DE SOTO, J. H. 2009. Money, Bank Credit, and Business cycles. 2. ed. Auburn: Ludwig von Mises Institute, 2009. ISBN 978-1-933550-39-8. FIORE, F.; TRISTANI, O. 2011. Credit and the Natural Rate of Interest. Journal of Money, Credit and Banking. 2011, Vol. 43, No. 2–3, pp. 407–440.

GARRISON, R. W. 2001. Time and Money. New York: Routledge, 2010. ISBN 0–415–07982–9. GARRISON, R. W. 2004. Overconsumption and Forced Saving in the Mises-Hayek Theory of the Business Cycle. History of Political Economy. 2004, Vol. 36, No. 2, pp. 323–349.

GRANGER, C. W. J. 1969. Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica. 1969, Vol. 37, No. 3, pp. 424–438.

GUJARATI, D. N. 2004. Basic Econometrics. 4th edition. New York: The McGraw−Hill Companies, 2004.

HABERLER, G. 1996. Money and the Business Cycle. In EBELING, R. (ed.): The Austrian Theory of the Trade Cycle and Other Essays, Auburn: Ludwig von Mises Institute. 1996, pp. 37–64.

HAYEK, F. A. 1933. Monetary Theory and Trade Cycle. London: Jonathan Cape, 1933.

HAYEK, F. A. 1935. Prices and Production, 2. edition. London: Routledge and Kegan Paul, 1935. HAYEK, F. A. 1969. Three Elucidations of the Ricardo Effect. Journal of Political Economy. 1969, Vol. 77, No. 2, pp. 274–285.

HAYEK, F. A. 1983. Nobel Prize-Winning Economist Friedrich A. von Hayek, Oral History Program. Los Angeles: Regents of the University of California, 1983.

HOTT, C.; JOKIPII, T. 2012. Housing Bubbles and Interest Rates. Swiss National Bank Working Paper 7/2012. KEELER, J. P. 2001. Empirical Evidence of the Austrian Business Cycle Theory. Review of Austrian Economics. 2001, Vol. 14, No. 4, pp. 331–351.

KOLLAR, M. 2013. A Sketch of Macro-based Asset Allocation. International Journal of Economic Sciences. 2013, Vol. 2, No. 3, pp. 101–120.

KYDLAND. F.; PRESCOTT, E. 1990. Business Cycles: Real Facts and Monetary Myth. Federal Reserve Bank of Minneapolis Quarterly Review. 1990, Vol. 14, No. 2, pp. 3–18.

LAUBACH, T.; WILLIAMS, J. C. 2003. Measuring the Natural Rate of Interest. The Review of Economics and Statistics. 2003, Vol. 85, No. 4, pp. 1063–1070.

MESONNIER, J. S. 2011. The Forecasting Power of Real Interest Rate Gaps: An Assessment for the Euro Area. Applied Economics. 2011, Vol. 43, No. 2, pp. 153–172.

MISES, L. VON. 1953. The Theory of Money and Credit. New Haven: Yale University Press, 1953. MISES, L. VON. 1998. Human Action: A Treatise on Economics. Auburn: Ludwig von Mises Institute, 1998.

MITCHELL, D. W. 1979. Explicit and Implicit Demand Deposit Interest: Substitutes or Complements from the Bank‘s Point of View? Journal of Money, Credit and Banking. 1979, Vol. 11, No. 2, pp. 182–191.

MULLIGAN, R. 2006. An Empirical Examination of Austrian Business Cycle Theory. Quarterly Journal of Austrian Economics. 2006, Vol. 9, No. 2, pp. 69–93.

NEISS, K. S.; NELSON, E. 2003. The Real-interest-rate Gap as an Infl ation Indicator. Macroeconomic Dynamics. 2003, Cambridge University Press, Vol. 7, pp. 239–262.

PRUŠVIC, D. 2010. Evropská fi skální pravidla a jejich účinnost: prvních 15 let. Politická ekonomie. 2010, Vol. 58, No. 1, pp. 579–600.

REINHART, C. M.; ROGOFF, K. S. 2013. Shifting Mandates: The Federal Reserve‘s First Centennial. American Economic Review. 2013, Vol. 103, No. 3, pp. 48–54.

REVENDA, Z. 2009. Monopoly centrálních bank a emise peněz. Politická ekonomie. 2009, Vol. 58, No. 5, pp. 579–600.

SCHULARICK, M.; TAYLOR, A. 2012. Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises 1870-2008. American Economic Review. 2012, Vol. 102, No. 2, pp. 1029–61.

SKOUSEN, M. 1990. The Structure of Production. New York: New York University Press, 1990.

SUMMERS, P. M. 2005. What Caused The Great Moderation? Some Cross-Country Evidence. Economic Review-Federal Reserve Bank of Kansas City. Third Quarter 2005, pp. 5–32.

TAYLOR, J. B. 2009. The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong. NBER Working Paper, January 2009, No. 14631.

TEMPELMAN, J. H. 2010. Austrian Business Cycle Theory and the Global Financial Crisis: Confessions of a Mainstream Economist. The Quarterly Journal of Austrian Economics. 2010, Vol. 13, No. 1, pp. 3–15.

WAINHOUSE, C. E. 1984. Empirical Evidence for Hayek‘s Theory of Economic Fluctuations. In SIEGEL, B. (ed.). Money in Crisis. San Francisco: Pacifi c Institute for Public Policy Research. 1984, pp. 37–71.

WEBER, A. 2006. The Role of Interest Rates in Theory and Practice – How Useful Is the Concept of the Natural Real Rate of Interest for Monetary Policy? BIS Review. 2006, Vol. 18, pp. 1–9.

WOODS JR., T. 2009. Meltdown. Washington DC: Regnery Publishing. ISBN: 978-1-59698-587-2.

YOUNG, A. T. 2005. Reallocating Labor to Initiate Changes in Capital Structures: Hayek Revisited. Economics Letters. 2005, Vol. 89, No. 3, pp. 275–282. ZAMRAZILOVÁ, E. 2011. Měnová politika: staré lekce, nové výzvy. Politická ekonomie. 2011, Vol. 59, No. 1, pp. 3–21.