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New evidence on long-run monetary neutrality

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Abstract

This paper re-examines the issue of long-run monetary neutrality by using fractional integration and allowing for a possible structural break in six countries: the United States, the United Kingdom, Mexico, Brazil, Australia and Argentina. We use an extension of Fisher and Seater’s (1993) reduced-form test recently proposed by Bae, Jensen and Murdock (2005). The results show that long-run monetary neutrality holds for five countries when no structural breaks

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Bibliographic Info

Article provided by Universidad del CEMA in its journal Journal of Applied Economics.

Volume (Year): XII (2009)
Issue (Month): (November)
Pages: 229-248

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Handle: RePEc:cem:jaecon:v:12:y:2009:n:2:p:229-248

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Keywords: money neutrality; long memory; structural breaks;

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