Webbläsaren som du använder stöds inte av denna webbplats. Alla versioner av Internet Explorer stöds inte längre, av oss eller Microsoft (läs mer här: * https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Var god och använd en modern webbläsare för att ta del av denna webbplats, som t.ex. nyaste versioner av Edge, Chrome, Firefox eller Safari osv.

Panel cointegration and the neutrality of money

In English

Författare

Summary, in English

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.

Publiceringsår

2009

Språk

Engelska

Sidor

1-26

Publikation/Tidskrift/Serie

Empirical Economics

Volym

36

Issue

1

Dokumenttyp

Konferensbidrag

Förlag

Physica Verlag

Ämne

  • Economics

Nyckelord

  • Monetary neutrality
  • Panel cointegration testing

Conference name

2nd Italian Congress of Econometrics and Empirical Economics

Conference date

2007-01-25 - 2007-01-26

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 0377-7332