Sufficient cointegration and Wald tests of the monetary transmission mechanism: Applied Economics Letters: Vol 6, No 8

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Abstract

This letter re-examines the role of commercial loans versus demand deposits in the monetary transmission mechanism using short-run and long-run sequential causality testing procedures designed by Toda and Phillips. Empirical results support the credit view that bank loans are as good a predictor of income as demand deposits.

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Sufficient cointegration and Wald tests of the monetary transmission mechanism

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Sufficient cointegration and Wald tests of the monetary transmission mechanism

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