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Tests of long-run neutrality using permanent monetary and real shocks

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  • Boschen, John F.
  • Mills, Leonard O.
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    File URL: http://www.sciencedirect.com/science/article/B6VBW-3YMWMXP-H/2/e308214da6c686021c4e51aaa950628d
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Monetary Economics.

    Volume (Year): 35 (1995)
    Issue (Month): 1 (February)
    Pages: 25-44

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    Handle: RePEc:eee:moneco:v:35:y:1995:i:1:p:25-44

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    Web page: http://www.elsevier.com/locate/inca/505566

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    References

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    1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    2. Matthew D. Shapiro & Mark W. Watson, 1989. "Sources of Business Cycle Fluctuations," NBER Working Papers 2589, National Bureau of Economic Research, Inc.
    3. Kim, In-Moo & Loungani, Prakash, 1992. "The role of energy in real business cycle models," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 173-189, April.
    4. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-48, April.
    5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    6. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
    7. repec:nbr:nberre:0126 is not listed on IDEAS
    8. Gali, Jordi, 1992. "How Well Does the IS-LM Model Fit Postwar U.S. Data," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 709-38, May.
    9. Taylor, John B, 1980. "Aggregate Dynamics and Staggered Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 1-23, February.
    10. Robert E. Hall, 1988. "The Relation Between Price and Marginal Cost in U.S. Industry," NBER Working Papers 1785, National Bureau of Economic Research, Inc.
    11. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    12. Walsh, Carl E, 1986. "In Defense of Base Drift," American Economic Review, American Economic Association, vol. 76(4), pages 692-700, September.
    13. Robert King & Mark W. Watson, 1992. "Testing Long Run Neutrality," NBER Working Papers 4156, National Bureau of Economic Research, Inc.
    14. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    15. Fair, Ray C, 1988. "Sources of Economic Fluctuations in the United States," The Quarterly Journal of Economics, MIT Press, vol. 103(2), pages 313-32, May.
    16. Louis Phaneuf, 1990. "Wage Contracts and the Unit Root Hypothesis," Canadian Journal of Economics, Canadian Economics Association, vol. 23(3), pages 580-92, August.
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    Cited by:
    1. Noriega, Antonio E. & Soria, Luis M. & Velázquez, Ramón, 2008. "International evidence on stochastic and deterministic monetary neutrality," Economic Modelling, Elsevier, vol. 25(6), pages 1261-1275, November.
    2. Lastrapes, William D. & Potts, Todd B., 2006. "Durable goods and the forward-looking theory of consumption: Estimates implied by the dynamic effects of money," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1409-1430, August.
    3. 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.
    4. David Gray, 2004. "Persistent Regional Unemployment Differentials Revisited," Regional Studies, Taylor & Francis Journals, vol. 38(2), pages 167-176.
    5. Aznar, A. & Domingo, C., 2006. "Determining long-run neutrality in a partially nonstationary model," Economics Letters, Elsevier, vol. 91(2), pages 236-242, May.
    6. Jin Lee, 2012. "Nonparametric Testing for Long-Run Neutrality with Applications to US Money and Output Data," Computational Economics, Society for Computational Economics, vol. 40(2), pages 183-202, August.
    7. Yunus Aksoy & Miguel León-Ledesma, 2004. "Interest Rates and Output in the Long-run," Studies in Economics 0409, Department of Economics, University of Kent.
    8. Locarno, Alberto & Massa, Massimo, 2005. "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers 4828, C.E.P.R. Discussion Papers.
    9. Lastrapes, W. D., 1998. "International evidence on equity prices, interest rates and money," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 377-406, June.
    10. Petr Duczynski, 2009. "On the relationship between real and nominal variables in developed countries," Prague Economic Papers, University of Economics, Prague, vol. 2009(1), pages 48-60.

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