Du är här

Panel cointegration and the neutrality of money

Författare:
Publiceringsår: 2009
Språk: Engelska
Sidor: 1-26
Publikation/Tidskrift/Serie: Empirical Economics
Volym: 36
Nummer: 1
Dokumenttyp: Konferensbidrag
Förlag: Physica Verlag

Sammanfattning

Most econometric methods for testing the proposition of long-run monetary neutrality rely on the assumption that money and real output do not cointegrate, a result that is usually supported by the data. This paper argues that these results can be attributed in part to the low power of univariate tests, and that a violation of the noncointegration assumption is likely to result in a nonrejection of the neutrality proposition. To alleviate this problem, two new and more powerful panel cointegration tests are proposed that can be used under quite general conditions. The empirical results obtained from applying these tests to a panel covering ten countries between 1870 and 1986 suggest money and real output are cointegrated, and hence that the neutrality proposition must be rejected.

Disputation

Nyckelord

  • Business and Economics
  • Monetary neutrality
  • Panel cointegration testing

Övrigt

2nd Italian Congress of Econometrics and Empirical Economics
2014-01-26
Rimini, ITALY
Published
Yes
  • ISSN: 0377-7332

Box 117, 221 00 LUND
Telefon 046-222 00 00 (växel)
Telefax 046-222 47 20
lu [at] lu [dot] se

Fakturaadress: Box 188, 221 00 LUND
Organisationsnummer: 202100-3211
Om webbplatsen

LERU logo U21 logo