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1、JOURNALOFECONOMICTIlEORY4,103-124(1972)ExpectationsandtheNeutralityofMoneyROBERTE.LUCAS,JR.*GraduateSchoolofIndustrialAdministration,Carnegie-MellonUniversity,Pittsburgh,Pennsyh'ania15213ReceivedSeptember4,19701.INTRODUCTIONThispaperprovidesasimpleexampleofa
2、neconomyinwhichequilibriumpricesandquantitiesexhibitwhatmaybethecentralfeatureofthemodernbusinesscycle:asystematicrelationbetweentherateofchangeinnominalpricesandthelevelofrealoutput.Therelationship,essentiallyavariantofthewell-knownPhillipscurve,isderivedwi
3、thinaframeworkfromwhichallformsof"moneyillusion"arerigorouslyexcluded:allpricesaremarketclearing,allagentsbehaveoptimallyinlightoftheirobjectivesandexpectations,andexpectationsareformedoptimally(inasensetobemadeprecisebelow).Exchangeintheeconomystudiedtakesp
4、laceintwophysicallyseparatedmarkets.Theallocationoftradersacrossmarketsineachperiodisinpartstochastic,introducingfluctuationsinrelativepricesbetweenthetwomarkets.Asecondsourceofdisturbancearisesfromstochasticchangesinthequantityofmoney,whichinitselfintroduce
5、sfluctuationsinthenominalpricelevel(theaveragerateofexchangebetweenmoneyandgoods).Informationonthecurrentstateoftheserealandmonetarydisturbancesistransmittedtoagentsonlythroughpricesinthemarketwhereeachagenthappenstobe.Intheparticularframeworkpresentedbelow,
6、pricesconveythisinformationonlyimperfectly,forcingagentstohedgeonwhetheraparticularpricemovementresultsfromarelativedemandshiftoranominal(monetary)one.Thishedgingbehaviorresultsinanonneutralityofmoney,orbroadlyspeakingaPhillipscurve,similarinnaturetothatwhic
7、hweobserveinreality.Atthesametime,classicalresultsonthelong-runneutralityofmoney,orindependenceofrealandnominalmagnitudes,continuetohold.Thesefeaturesofaggregateeconomicbehavior,derivedbelowwithinaparticular,abstractframework,bearmorethanasurfaceresemblancet
8、o*IwouldliketothankJamesScottforhishelpfulcomments.103©1972byAcademicPress,Inc.104LUCASmanyofthechracteristicsattributedtotheU.S.economybyFriedman[3andelsewhere].Thispaperprovidesanexplicitlyela
