Panel cointegration and the neutrality of money
نویسندگان
چکیده
منابع مشابه
Panel Cointegration and the Neutrality of Money
Most econometric methods for testing the proposition of long-run monetary neutrality rely on the assumption that money and real output do not cointegrate. 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 thi...
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This article uses seasonal integration and co integration techniques to test the hypothesis of neutrality of money, using data from the Iranian economy. Seasonal data for the three variables of money supply, output and prices show that (increase in) money supply and the price level are co integrated at zero frequency, but one does not see such a relationship between (increase in) money supply a...
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Is just only one cointegrating vector among the panel variables? Based on the multivariate maximum likelihood cointegration tests offered by Larsson et al. (2001), the findings here provide solid evidence of the presence of at least two cointegrated vectors for the money demand function in GCC countries,
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this article uses seasonal integration and co integration techniques to test the hypothesis of neutrality of money, using data from the iranian economy. seasonal data for the three variables of money supply, output and prices show that (increase in) money supply and the price level are co integrated at zero frequency, but one does not see such a relationship between (increase in) money supply a...
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M oney is useful in overcoming two types of frictions. First, in barter exchange, money helps to mitigate double-coincidence frictions that arise in developed economies where economic agents are specialized in production and consumption. Second, in trades involving credit, information frictions may imply that one economic agent has difficulty getting another economic agent to accept his or her ...
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ژورنال
عنوان ژورنال: Empirical Economics
سال: 2008
ISSN: 0377-7332,1435-8921
DOI: 10.1007/s00181-007-0181-y