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Money-Income Causality and the Neutrality of Money
Department of Economics, Lund University.
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1993 (English)Report (Other academic)
Abstract [en]

We study two related Granger noncasualty hypotheses. First, money equation innovations cannot predict future income. Second, the coefficients on money in the income equation are zero. Furthermore, we test if income is neutral in the long run with respect to money equation innovations. The first and third hypotheses are addressed in the moving average represenation of a cointegrated vector autoregression. Focusing on monthly U.S. data (1959-89) on income, prices, interest rates, and money we obtain weak evidence against the first hypothesis and mixed evidence about the second. Finally, our results suggest that income is not influence by money innovations in the long run.

Place, publisher, year, edition, pages
Stockholm: IIES , 1993. , 33 p.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 557
Keyword [en]
cointegration, Granger casuality, money and income, vector autoregression, moving average coefficients
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-41877OAI: oai:DiVA.org:su-41877DiVA: diva2:338091
Available from: 2010-08-10 Created: 2010-08-10 Last updated: 2010-08-10Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf