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Breaking Trends And The Money-Output Correlation


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  • David G. Fernandez
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    This 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 Info

    Article provided by MIT Press in its journal The Review of Economics and Statistics.

    Volume (Year): 79 (1997)
    Issue (Month): 4 (November)
    Pages: 674-679

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    Handle: RePEc:tpr:restat:v:79:y:1997:i:4:p:674-679

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    Cited by:
    1. Bruce E. Hansen, 2001. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 15(4), pages 117-128, Fall.
    2. Gómez Aguirre Mario & Lenin Navarro Chávez José César, 2014. "Relación de causalidad entre el índice de precios del productor y el índice de precios del consumidor incorporando cambios estructurales. El caso de México," Contaduría y Administración:Revista Internacional, Accounting and Management: International Journal, Accounting and Management: International Journal, vol. 59(2), pages 179-196, abril-jun.
    3. 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, El Colegio de México, Centro de Estudios Económicos, vol. 27(1), pages 169-207.
    4. 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, University of Gothenburg, Department of Economics 377, University of Gothenburg, Department of Economics.
    5. Thomas Gries & Tim Krieger & Daniel Meierrieks, 2009. "Causal Linkages Between Domestic Terrorism and Economic Growth," Working Papers CIE, University of Paderborn, CIE Center for International Economics 20, University of Paderborn, CIE Center for International Economics.
    6. Toledo, Wilfredo, 2010. "Algunos métodos para modelar tendencias y su aplicación a las series de empleo sectorial en Puerto Rico
      [Different Techniques of Modelling Trend and its applications to Puerto Rico Sectoral Emplo
      ," MPRA Paper 26871, University Library of Munich, Germany.


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