I. Introduction to Time Series Models: Stationarity, ARMA and ARIMA Models

(*) Harvey, A.C. Time Series Models (Philip Alan, 1981), Chapter 2.
(*) Harvey, A.C. The Econometric Analysis of Time Series, 2^nd Edition (MIT, 1990), pp.23-31.
(#) Enders, W. Applied Econometric Time Series, (Wiley, 1995), Chapter 2.
(#) Greene, W.H. Econometric Analysis, 2^nd Edition, (Macmillan, 1993), Chapter 19, pp. 549-558.

II. Asset Market Efficiency

The Random Walk Hypothesis

(*) Campbell, J.Y., Lo, A., and MacKinlay, A.C. The Econometrics of Financial Markets, (Princeton, 1997), Chapter 2.

The Present Value Model

(*) Shiller, R.J. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?" American Economic Review, 71:421-436, 1981.

Leroy, S. and Porter, R. "The Present Value Relation: Tests Based on Implied Variance Bounds," Econometrica, 49: 555-574, 1981.

Flavin, M. "Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence," Journal of Political Economy, 91:929-956, 1983.

(*) Mankiw, N.G., Romer, D. and Shapiro, M. "An Unbiased Reexamination of Stock Price Volatility," Journal of Finance, 40:677-687, 1985.

(*) Campbell, J.Y. and Shiller, R.J. "Cointegration and Tests of Present Value Models," Journal of Political Economy, 95:1062-1088, 1987.

Fads, Overreaction, Rational Bubbles, etc.

(*) Diba, B.T. and Grossman, H.I. "Explosive Rational Bubbles in Stock Prices?" American Economic Review, 78:520-530, 1988.

(*) De Bondt, W.F.M. and Thaler, R. "Does the Stock Market Overreact?" The Journal of Finance, 50:793-808, 1985.

West, K.D. "A Specification Test for Speculative Bubbles," Quarterly Journal of Economics, 102:553-580, 1987.

III. Money Neutrality

(*) Sargent, T.J. and Wallace, N. "Rational Expectations and the Theory of Economic Policy," Journal of Monetary Economics, 2:169-183, 1976. ( Reprinted in Rational Expectations and Econometric Practice, edited by T.J. Sargent and R. E. Lucas, Jr., University of Minnesota, 1981, pp. 199-214.)

(*) Lucas, R.E., Jr. "Some International Evidence on Output-Inflation Trade-Offs," American Economic Review, 63:326-334, 1973.

(*) Barro, R.J. "Unanticipated Money Growth and Unemployment in the United States," American Economic Review, 67:101-115, 1977. (Reprinted in Rational Expectations and Econometric Practice, pp. 563-584.)

(*) Barro, R.J. "Unanticipated Money, Output, and the Price Level in the United States," Journal of Monetary Economics, 86:549-580, 1978. (Reprinted in Rational Expectations and Econometric Practice, pp. 585-616.)

1. The Dynamic Effects of Monetary Policy

Vector Autoregressive Models

(*) Enders, W. Applied Econometric Time Series (Wiley, 1995), Chapter 5, Sections 5-13.

Hamilton, J.D. Time Series Analysis (Princeton, 1994), Chapter 11.

Lutkepohl, H. Introduction to Multiple Time Series Analysis (Springer-Verlag, 1991).

Applications of Vector Autoregressive Models to the Dynamic Effects of Monetary Policy

(*) Sims, C.A. "Macroeconomics and Reality," Econometrica, 48:1-48, 1980.

Sims, C.A. "Are Forecasting Models Usable for Policy Analysis?" Federal Reserve Bank of Minneapolis Quarterly Review, 10:2-16, 1986.

Sims, C.A. "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," European Economic Review, 36:975-1000, 1992.

Bernanke, B.S. "Alternative Explorations of the Money-Income Correlation," Carnegie-Rochester Conference Series on Public Policy, 25:49-99, 1986.

Blanchard, O.J. and Quah, D. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, 79:655-673, 1989.

Gordon, D.B. and Leeper, E.M. "The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification," Journal of Political Economy, 102:1228-1247, 1994.

Note:

(*) = required reading, on reserve in Economics/Sociology Reading Room

(#) = on reserve in Economics/Sociology Reading Room