Panel Cointegration and the Neutrality of Money
نویسندگان
چکیده
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 this problem, two new and more powerful panel cointegration tests are proposed. The tests are applied to a panel covering 10 countries between 1870 and 1986 and findings show that the neutrality proposition do not hold. JEL Classification: E50; C22; C23.
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