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The long-horizon regression approach to monetary neutrality: how should the evidence be interpreted?

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  • Coe, Patrick J.
  • Nason, James M.

Abstract

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 78 (2003)
Issue (Month): 3 (March)
Pages: 351-356

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Handle: RePEc:eee:ecolet:v:78:y:2003:i:3:p:351-356

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Fisher, Mark E & Seater, John J, 1993. "Long-Run Neutrality and Superneutrality in an ARIMA Framework," American Economic Review, American Economic Association, vol. 83(3), pages 402-15, June.
  2. Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Wiley Blackwell, vol. 61(4), pages 631-53, October.
  3. Olekalns, N., 1995. "Some further Evidence on the Long Run Neutrality of Money," Department of Economics - Working Papers Series 465, The University of Melbourne.
  4. Boschen, John F & Otrok, Christopher M, 1994. "Long-Run Neutrality and Superneutrality in an ARIMA Framework: Comment," American Economic Review, American Economic Association, vol. 84(5), pages 1470-73, December.
  5. Serletis, Apostolos & Krause, David, 1996. "Empirical evidence on the long-run neutrality hypothesis using low-frequency international data," Economics Letters, Elsevier, vol. 50(3), pages 323-327, March.
  6. James Bullard, 1999. "Testing long-run monetary neutrality propositions: lessons from the recent research," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 57-77.
  7. Donald W.K. Andrews, 1986. "Power in Econometric Applications," Cowles Foundation Discussion Papers 800, Cowles Foundation for Research in Economics, Yale University.
  8. Lucas, Robert E, Jr, 1996. "Nobel Lecture: Monetary Neutrality," Journal of Political Economy, University of Chicago Press, vol. 104(4), pages 661-82, August.
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Citations

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Cited by:
  1. Wallace, Frederick H. & Shelley, Gary L., 2006. "An alternative test of purchasing power parity," Economics Letters, Elsevier, vol. 92(2), pages 177-183, August.
  2. Serletis, Apostolos & Gogas, Periklis, 2004. "Long-horizon regression tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1961-1985, August.
  3. Wallace, Fred & Cabrera-Castellanos, Luis F., 2006. "Neutralidad monetaria a Largo plazo: El caso de Guatemala
    [Long Run Money Neutrality in Guatemala]
    ," MPRA Paper 4025, University Library of Munich, Germany, revised 2006.
  4. Shyh-Wei Chen, 2007. "Evidence of the Long-Run Neutrality of Money: The Case of South Korea and Taiwan," Economics Bulletin, AccessEcon, vol. 3(64), pages 1-18.
  5. Bae, Sang-Kun & Jensen, Mark J. & Murdock, Scott G., 2005. "Long-run neutrality in a fractionally integrated model," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 257-274, June.
  6. Patrick J. Coe & James M. Nason, 2004. "Long-run monetary neutrality and long-horizon regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 355-373.
  7. repec:ebl:ecbull:v:5:y:2005:i:8:p:1-13 is not listed on IDEAS
  8. Antonio E. Noriega & Daniel Ventosa-SantaulĂ ria, 2010. "Spurious Long-Horizon Regression in Econometrics," Working Papers 2010-06, Banco de MĂ©xico.
  9. repec:ebl:ecbull:v:3:y:2007:i:64:p:1-18 is not listed on IDEAS
  10. Gary L. Shelley & Frederick H. Wallace, 2004. "Long Run Effects of Money on Real Consumption and Investment in the U.S," Macroeconomics 0404007, EconWPA, revised 06 Apr 2004.
  11. Frederick H.Wallace & Gary L. Shelley, 2007. "Long Run Neutrality of Money in Mexico," Economia Mexicana NUEVA EPOCA, , vol. 0(2), pages 219-238, July-Dece.
  12. Noriega, Antonio E., 2004. "Long-run monetary neutrality and the unit-root hypothesis: further international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 179-197, August.

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