The Neutrality Properties of Competing Relative Price Models: Tests Using Linear Feedback
AbstractThis article uses a variant of Geweke's (1982) linear feedback measure to test common characterizations of monetary neutrality implicit in classes of relative price models. The neutrality properties are defined in terms of relative price changes' response to monetary policy shocks in a system including average price changes, an interest rate, and industrial production growth. The magnitude and patterns of monetary feedback found in U.S. relative price data provide no support for any of the structurally neutral models.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 9 (1991)
Issue (Month): 1 (January)
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- Scott M. Fuess, Jr. & Jack W. Hou & Meghan Millea, 2003. "Tax or Spend, What causes What? Reconsidering Taiwan's Experience," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 2(2), pages 109-119, August.
- Croux, Christophe & Reusens, Peter, 2011. "Do stock prices contain predictive power for the future economic activity? A Granger causality analysis in the frequency domain," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/312724, Katholieke Universiteit Leuven.
- Millea, Meghan & Fuess, Scott Jr., 2005. "Does pay affect productivity or react to it?: Examination of U.S. manufacturing," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 796-807, September.
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