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A New Test of Money-Income Causality

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  • Holmes, James M
  • Hutton, Patricia A

Abstract

This paper investigates the prima facie causal relationship between money and income employing a methodology--the multiple rank F test--the results of which are invariant to monotonic transformations of all variables and robust over alternative distributions of the errors. In contrast to prior functional-form dependent parametric analyses, evidence of prima facie causality between money and income is found for the 1970-88 time period. This evidence is consistent with an elementary theoretical framework in which the direction and strength of causality is dependent upon the definition of money. Copyright 1992 by Ohio State University Press.

Suggested Citation

  • Holmes, James M & Hutton, Patricia A, 1992. "A New Test of Money-Income Causality," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(3), pages 338-355, August.
    • Handle: RePEc:mcb:jmoncb:v:24:y:1992:i:3:p:338-55
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    Cited by:

    1. Justesen, Mogens K., 2008. "The effect of economic freedom on growth revisited: New evidence on causality from a panel of countries 1970-1999," European Journal of Political Economy, Elsevier, vol. 24(3), pages 642-660, September.
    2. Joshua Aizenman & Ilan Noy, 2009. "Endogenous Financial and Trade Openness," Review of Development Economics, Wiley Blackwell, vol. 13(2), pages 175-189, May.
    3. Oet, Mikhail V. & Bianco, Timothy & Gramlich, Dieter & Ong, Stephen J., 2013. "SAFE: An early warning system for systemic banking risk," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4510-4533.
    4. Brian C. Hill & Matthew N. Murray, 2008. "Interactions Between Welfare Caseloads And Local Labor Markets," Contemporary Economic Policy, Western Economic Association International, vol. 26(4), pages 539-554, October.
    5. Serkan Erkam & Tarkan Cavusoglu, 2008. "Modelling Inflation Uncertainty In Transition Economies:The Case Of Russia And The Former Soviet Republics," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 53(178-179), pages 44-71, July - De.

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