Money’s predictive role in output: evidence from recent data

References

• Alkhareif, R., and M. Al-Rasasi. 2021. “Estimating the Money Demand Function for Saudi Arabia Using Divisia Monetary Aggregate.” Applied Economics 53 (42): 4823–4834. doi:10.1080/00036846.2021.1910134.
   Web of Science ®Google Scholar
• Barnett, W. A. 1978. “The User Cost of Money.” Economic Letters 1 (2): 145–149. doi:10.1016/0165-1765(78)90051-4.
   Web of Science ®Google Scholar
• Barnett, W. A. 1980. “Economic Monetary Aggregate: An Application of Index Number and Aggregation Theory.” Journal of Econometrics 14 (1, September): 11–48. doi:10.1016/0304-4076(80)90070-6.
   Web of Science ®Google Scholar
• Barnett, W. A., and R. M. Alkhareif. 2013. Advances in Monetary Policy Design: Applications to the Gulf Monetary Union. United Kingdom: Cambridge Scholars Publishing.
   Google Scholar
• Barnett, W. A., T. Ghosh, and M. H. Adil. 2022. “Is Money Demand Really Unstable? Evidence from Divisia Monetary Aggregates.” Economic Analysis and Policy 74: 606–622. doi:10.1016/j.eap.2022.03.019.
   Web of Science ®Google Scholar
• Belongia, M. 1996. “Measurement Matters: Recent Results from Monetary Economics Reexamined.” The Journal of Political Economy 104 (5, Oct): 1065–1083. doi:10.1086/262052.
   Web of Science ®Google Scholar
• Belongia, M., and J. Binner. 2001. Divisia Monetary Aggregates: Theory and Practice. UK: Palgrave Macmillan.
   Google Scholar
• Belongia, M., and P. N. Ireland. 2016. “Money and Output: Friedman and Schwartz Revisited.” Journal of Money, Credit, and Banking 48 (6): 1223–1266. doi:10.1111/jmcb.12332.
   Web of Science ®Google Scholar
• Belongia, M. T., and P. N. Ireland. 2022. “Strengthening the Second Pillar: A Greater Role for Money in the Ecb’s Strategy.” Applied Economics 54 (1): 99–114. doi:10.1080/00036846.2021.1959895.
   Web of Science ®Google Scholar
• Berger, H., and P. Österholm. 2009. “Does Money Still Matter for US Output?” Economics Letters 102 (3): 143–146. doi:10.1016/j.econlet.2008.11.029.
   Web of Science ®Google Scholar
• Caraiani, P. 2012. “Money and Output: New Evidence Based on Wavelet Coherence.” Economics Letters 116 (3): 547–550. doi:10.1016/j.econlet.2012.02.032.
   Web of Science ®Google Scholar
• Christiano, L. J., and L. Ljungqvist. 1988. “Money Does Granger-Cause Output in the Bivariate Money-Output Relation.” Journal of Monetary Economics 22 (2): 217–235. doi:10.1016/0304-3932(88)90020-7.
   Web of Science ®Google Scholar
• Clarida, R., J. Galì, and M. Gertler. 2000. “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory.” The Quarterly Journal of Economics 115 (1): 147–180. doi:10.1162/003355300554692.
   Web of Science ®Google Scholar
• Dickey, D. A., and W. A. Fuller. 1981. “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica: Journal of the Econometric Society 49 (4): 1057–1072. doi:10.2307/1912517.
   Web of Science ®Google Scholar
• Diewert, W. E. 1976. “Exact and Superlative Index Numbers.” Journal of Econometrics 4 (2): 115–145. doi:10.1016/0304-4076(76)90009-9.
   Google Scholar
• Diewert, W. E. 1978. “Superlative Index Numbers and Consistency in Aggregation.” Econometrica 46 (4): 883–900. doi:10.2307/1909755.
   Web of Science ®Google Scholar
• Doan, T. 2014. RATS 9.0 User’s Guide. Evanston, IL: Estima.
   Google Scholar
• Eichenbaum, M., and K. J. Singleton. 1986. ”Do Equilibrium Real Business Cycle Theories Explain Post-War U.S. Business Cycles?” In NBER Macroeconomics Annual. Vol. 1. edited by S. Fischer, 91–134. Cambridge, MA: MIT Press.
   Google Scholar
• Estrella, A., and F. S. Mishkin. 1997. “Is There a Role for Monetary Aggregates in the Conduct of Monetary Policy?” Journal of Monetary Economics 40 (2): 279 304. doi:10.1016/S0304-3932(97)00044-5.
   Web of Science ®Google Scholar
• Feldstein, M., and J. H. Stock. 1993. ”The Use of Monetary Aggregates to Target Nominal GDP.” In Monetary Policy, edited by N. G. Mankiw, 7–70. United States: University of Chicago Press.
   Google Scholar
• Friedman, B. M., and K. N. Kuttner. 1992. ”Money, Income, Prices, and Interest Rates.” The American Economic Review 82 (3): 472–492. Jun.
   Web of Science ®Google Scholar
• Friedman, B. M., and K. N. Kuttner. 1993. “Another Look at the Evidence on Money-Income Causality.” Journal of Econometrics 57 (1–3): 189–203. doi:10.1016/0304-4076(93)90064-C.
   Web of Science ®Google Scholar
• Friedman, M., and A. J. Schwartz. 1963. “Money and Business Cycles.” The Review of Economics and Statistics 45 (1): 32–64. doi:10.2307/1927148.
   Google Scholar
• Gefang, D. 2012. “Money-Output Causality Revisited – a Bayesian Logistic Smooth Transition VECM Perspective.” Oxford Bulletin of Economics and Statistics 74 (1): 0305–9049. doi:10.1111/j.1468-0084.2011.00652.x.
   Web of Science ®Google Scholar
• Ghosh, T., and P. M. Parab. 2019. “Testing the Friedman–Schwartz Hypothesis Using Time-Varying Correlation Analysis.” Applied Economics Letters 26 (20): 1694–1699. doi:10.1080/13504851.2019.1591594.
   Web of Science ®Google Scholar
• Hafer, R. W., and A. M. Kutan. 1997. “More Evidence on the Money-Output Relationship.” Economic Inquiry, Western Economic Association International 35 (1, January): 48–58. doi:10.1111/j.1465-7295.1997.tb01893.x.
   Web of Science ®Google Scholar
• Hayo, B. 1999. “Money-Output Granger Causality Revisited: An Empirical Analysis of EU Countries.” Applied Economics 31 (11): 1489–1501. doi:10.1080/000368499323355.
   Web of Science ®Google Scholar
• Hendrickson, J. R. 2014. “Redundancy and ‘Mismeasurement’? A Reappraisal of Money.” Macroeconomic Dynamics 18 (7): 1437–1465. doi:10.1017/S1365100512001034.
   Web of Science ®Google Scholar
• Hill, J. B. 2007. “Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money–Income Relationship.” Journal of Applied Econometrics 22 (4): 747–765. doi:10.1002/jae.925.
   Web of Science ®Google Scholar
• King, R., and C. Plosser. 1984. “Money, Credit, and Prices in a Real Business Cycle.” The American Economic Review 74: 363–380.
   Web of Science ®Google Scholar
• Mantalos, P. 2000. “A Graphical Investigation of the Size and Power of the Granger-Causality Tests in Integrated-Cointegrated VAR Systems.” Studies in Nonlinear Dynamics & Econometrics 4 (1): 17–33. doi:10.1162/108118200569162.
   Web of Science ®Google Scholar
• Mantalos, P., and G. Shukur. 1998. “Size and Power of the Error Correction Model Cointegration Test. A Bootstrap Approach.” Oxford Bulletin of Economics and Statistics 60 (2): 249–255. doi:10.1111/1468-0084.00097.
   Web of Science ®Google Scholar
• Phillips, P. C., and P. Perron. 1988. “Testing for a Unit Root in Time Series Regression.” Biometrika 75 (2): 335–346. doi:10.1093/biomet/75.2.335.
   Web of Science ®Google Scholar
• Ravn, M. O., Z. Psaradakis, and M. Sola. 2005. “Markov Switching Causality and the Money–Output Relationship.” Journal of Applied Econometrics 20 (5): 665–683. doi:10.1002/jae.819.
   Web of Science ®Google Scholar
• Runkle, D. 1987. “Vector Autoregressions and Reality.” Journal of Business & Economic Statistics 5 (4): 437–442. doi:10.2307/1391992.
   Web of Science ®Google Scholar
• Serletis, A., and M. King. 1994. “Deterministic Trends and Money–Output Causality.” Applied Financial Economics 4 (2): 143–147. doi:10.1080/758523958.
   Google Scholar
• Shukur, G., and P. Mantalos. 1997. “Tests for Granger Causality in Integrated-Cointegrated VAR Systems.” Working paper 1998:1, Sweden: Department of Statistics, University of Lund.
   Google Scholar
• Sims, C. A. 1972. “Money, Income, and Causality.” The American Economic Review 62: 540–552.
   Web of Science ®Google Scholar
• Sims, C. A. 1980a. “Macroeconomics and Reality.” Econometrica 48 (1): 1–48. doi:10.2307/1912017.
   Web of Science ®Google Scholar
• Sims, C. A. 1980b. “Comparison of Interwar and Post- War Business Cycles: Monetarism Reconsidered.” The American Economic Review 70: 250–257.
   Web of Science ®Google Scholar
• Sims, C., J. Stock, and M. Watson. 1990. “Inference in Linear Time Series Models with Some Unit Roots.” Econometrica 58 (1): 113–144. doi:10.2307/2938337.
   Web of Science ®Google Scholar
• Stock, J. H., and M. W. Watson. 1989. “Interpreting the Evidence on Money-Income Causality.” Journal of Econometrics 40 (1): 161–182. doi:10.1016/0304-4076(89)90035-3.
   Web of Science ®Google Scholar
• Swanson, N. R. 1998. “Money and Output Viewed Through a Rolling Window.” Journal of Monetary Economics 41 (3): 455–474. doi:10.1016/S0304-3932(98)00005-1.
   Web of Science ®Google Scholar
• Toda, H. Y., and T. Yamamoto. 1995. “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes.” Journal of Econometrics 66 (1–2): 225–250. doi:10.1016/0304-4076(94)01616-8.
   Web of Science ®Google Scholar
• Vilasuso, J. 2000. “Trend Breaks in Money Growth and the Money-Output Relation in the U.S.” Oxford Bulletin of Economics and Statistics 62 (1): 0305–9049. doi:10.1111/1468-0084.00159.
   Web of Science ®Google Scholar
• Zivot, E., and D. W. K. Andrews. 2002. “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis.” Journal of Business & Economic Statistics 20 (1): 25–44. doi:10.1198/073500102753410372.
   Web of Science ®Google Scholar