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Anticipated Money, Unanticipated Money and Output Variations in Singapore

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  • Biswajit Maitra

Abstract

This paper examines the effectiveness of anticipated and unanticipated money in the variations of output in Singapore over the periods 1971-72 to 2007-08. The study has found that money supply and output in Singapore are cointegrated. No cointegration is found between output and anticipated money. Short-run dynamics of the cointegrated variables testifies that money supply of the immediate past period leads to rise in output. The study also examines the invariance proposition of rational expectations and found the evidence that the unanticipated part of money supply has significant role in the variations of output growth. Therefore monetary surprises may be successful in promoting output growth.

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Bibliographic Info

Article provided by The Indian Econometric Society in its journal Journal of Quantitative Economics.

Volume (Year): 9 (2011)
Issue (Month): 1 ()
Pages: 118-133

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Handle: RePEc:jqe:jqenew:v:9:y:2011:i:1:p:118-133

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Postal: Managing Editor, Journal of Quantitative Economics, Indira Gandhi Institute of Development Research (IGIDR), Gen. A.K. Vaidya Marg, Goregaon (E), Mumbai 400 065 , INDIA
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  1. Ghani, Ejaz, 1991. "Rational expectations and price behavior : A study of India," Journal of Development Economics, Elsevier, vol. 36(2), pages 295-311, October.
  2. Stock, James H. & Watson, Mark W., 1989. "Interpreting the evidence on money-income causality," Journal of Econometrics, Elsevier, vol. 40(1), pages 161-181, January.
  3. Krol, Robert & Ohanian, Lee E., 1990. "The impact of stochastic and deterministic trends on money-output causality : A multi-country investigation," Journal of Econometrics, Elsevier, vol. 45(3), pages 291-308.
  4. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
  5. Cover, James Peery, 1992. "Asymmetric Effects of Positive and Negative Money-Supply Shocks," The Quarterly Journal of Economics, MIT Press, vol. 107(4), pages 1261-82, November.
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Cited by:
  1. P., Srinivasan & M., Kalaivani, 2013. "On the Temporal Causal Relationship between Macroeconomic Variables: Empirical Evidence from India," MPRA Paper 46803, University Library of Munich, Germany.

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