161
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Long-run monetary neutrality

&
Pages 2025-2036 | Published online: 08 Feb 2010
 

Abstract

In this article, we provide a test of long-run monetary neutrality employing cointegration and vector error-correction modelling methodology. Using quarterly data for the United States, we estimate the long-run relationships among money supply and output and other key macroeconomic variables. Our findings, in general, raise doubts about the long-run monetary neutrality proposition.

Notes

1See for example, Mankiw (Citation2000) and O'Sullivan and Scheffrin (Citation2003).

2 Since many of the series appear to have some kind of trend and none of the series have zero mean, we must allow for a trend in the data. Further, the unit root tests performed indicate that none of the series are trend stationary. Therefore, we do not restrict the trend to be in the cointegrating relationship. Thus, we allow for a deterministic trend in the data and include an intercept but no trend in the cointegrating relationship. Further, the main results of the article are the same regardless of the specification of the deterministic components in the VAR.

3 For a discussion of the procedure see Johansen (Citation1991) and Johansen (Citation1995).

4Boschen and Mills (Citation1995) used 7 lags in the level data (6 lags in the differenced data). King and Watson (Citation1997) also used 7 lags in the level data (6 lags in the differenced data), but reported some additional results for 5 and 9 lags in the level data (4 and 8 lags in the differenced data).

Log in via your institution

Log in to Taylor & Francis Online

PDF download + Online access

  • 48 hours access to article PDF & online version
  • Article PDF can be downloaded
  • Article PDF can be printed
USD 53.00 Add to cart

Issue Purchase

  • 30 days online access to complete issue
  • Article PDFs can be downloaded
  • Article PDFs can be printed
USD 387.00 Add to cart

* Local tax will be added as applicable

Related Research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.