Testing the Long-Run Neutrality of Money:The Case of Japan, South Korea and Taiwan
AbstractThis paper examines the short-run and long-run neutrality of money using methodology suggested by King and Watson (1997) on quarterly data from South Korea and Taiwan (King and Watson (1997), Testing Long-Run Neutrality, Federal Reserve Bank of Richmond Economic Quarterly, 83(3), 69-103). A body of empirical evidence provides considerable support for the long-run neutrality of money with respect to real output in the case of South Korea, but does not support short-run neutrality. There is little evidence for short-run and long-run monetary neutrality for Taiwan. The possible reasons for this discrepancy include the different methodologies, particularly different measurement methods for money and sample periods.
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Bibliographic InfoArticle provided by College of Business, Feng Chia University, Taiwan in its journal Journal of Economics and Management.
Volume (Year): 5 (2009)
Issue (Month): 1 (January)
money neutrality; structural VAR; impulse response function;
Find related papers by JEL classification:
- E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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