Money-output Causality Revisited - A Bayesian Logistic Smooth Transition VECM Perspective*
نویسندگان
چکیده
منابع مشابه
Survey of Money- Output Causality: Case Study of Iran, Based on Vector Error Correction Model (VECM)
This study investigated the dynamic relationship between money, prices and output in a multivariate structure of casualty analysis in Iran for the two period of 1969 to 2012 (entire period) and 1989 to 2012 (sub-period). This statistical framework has been projected for situations where causal links may have changed over the sample period. Results of a three-variable Vector Error Correction Mod...
متن کاملsurvey of money- output causality: case study of iran, based on vector error correction model (vecm)
this study investigated the dynamic relationship between money, prices and output in a multivariate structure of casualty analysis in iran for the two period of 1969 to 2012 (entire period) and 1989 to 2012 (sub-period). this statistical framework has been projected for situations where causal links may have changed over the sample period. results of a three-variable vector error correction mod...
متن کاملA note on the power of money-output causality testsy
The role of money and its effects on national output have generated a voluminous amount of literature (Blanchard, 1990; Lucas, 1996; Sargent, 1996). Since Friedman and Schwartz (1963) rekindled the research on the effects of money on aggregate output, numerous studies have aimed to characterize and establish the interactions between money and output. Theoretical models are constructed to show t...
متن کاملStable Money Demand and Nominal Money Causality of Output Growth: a Multivariate Cointegration Analysis of Croatia
The paper identifies monetary economic features of the post-transition Croatian economy, with a view towards using inflation rate targeting to reach European Union (EU) inflation targets as required by EU accession. If focuses on the demand for real money balances, the Fisher equation of interest rates, and the effect of nominal money on output, for Croatia over the 1994-2002 period. The real m...
متن کاملCore Discussion Paper 9866 Smooth Transition Garch Models: a Bayesian Perspective
This paper proposes a new kind of asymmetric GARCH where the conditional variance obeys two di erent regimes with a smooth transition function. In one formulation, the conditional variance reacts di erently to negative and positive shocks while in a second formulation, small and big shocks have separate e ects. The introduction of a threshold allows for a mixed e ect. A Bayesian strategy, based...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Oxford Bulletin of Economics and Statistics
سال: 2011
ISSN: 0305-9049
DOI: 10.1111/j.1468-0084.2011.00652.x