Breaking Trends And The Money-Output Correlation
AbstractThis paper examines the impact on the money-output correlation of a univariate specification that allows time series to be characterized as stationary around a broken trend function. Though pretesting suggests that U.S. real output (industrial production) can be described as broken-trend stationary, this result has only limited impact on the money-output correlation. Before 1985 there is a strong Granger causal relationship between money and broken-detrended output (but not first-differenced output), even when different short-term interest rates are used as regressors. However, after 1985 this relationship weakens significantly, whether or not one determines that output has a unit root. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology
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Bibliographic InfoArticle provided by MIT Press in its journal The Review of Economics and Statistics.
Volume (Year): 79 (1997)
Issue (Month): 4 (November)
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- Bruce E. Hansen, 2001. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 117-128, Fall.
- Westerlund, Joakim & Costantini, Mauro & Narayan, Paresh & Popp, Stephan, 2009. "Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production," Working Papers in Economics 377, University of Gothenburg, Department of Economics.
- Mario Gómez Aguirre & José Carlos A. Rodríguez Chávez, 2012. "Análisis de la paridad del poder de compra: evidencia empírica entre México y Estados Unidos," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 27(1), pages 169-207.
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