Tests of the Neutrality of Money
1994 (English)Report (Other academic)
To test structural hypotheses, like monetary neutrality, we need a structural model. In this paper we discuss two recent contributions to the VAR literature on long run neutrality. We argue that Fisher and Seater's (1993) analysis is as vulnerble to the Cooley-LeRoy critique as were the early VAR applications. The analysis in King and Watson (1992) is more careful about the identification problem and not subject to this critique. As an extension to the King-Watson analysis we show how cointegration restrictions can be used to shed additional light on long run neutrality within the context of a common trends model.
Place, publisher, year, edition, pages
Stockholm: IIES , 1994. , 15 p.
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 570
cointegration, common trends, monetary neutrality, vector autoregressions
IdentifiersURN: urn:nbn:se:su:diva-41894OAI: oai:DiVA.org:su-41894DiVA: diva2:342831