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Interest rates and output in the long-run

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Abstract

In this paper we argue that both statistics and economic theory-based evidence largely indicate the absence of long run relationships between the real output and the most relevant monetary indicator for the U.K. and the U.S, short term interest rates. These findings are not only a full sample result, but also valid in most of the sub-samples throughout the second half of the 20th century and are robust to the inclusion of possible omitted real variables.

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File URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp434.pdf
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Bibliographic Info

Paper provided by European Central Bank in its series Working Paper Series with number 434.

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Length: 33 pages
Date of creation: Jan 2005
Date of revision:
Handle: RePEc:ecb:ecbwps:20050434

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Keywords: information value; long term relationship; cointegration; bounds tests;

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Cited by:
  1. Bharat Chadha, 2007. "Impact of U.S. Federal Interest Rate and Movement of MSCI on Indian Capital Markets," Working Papers id:1024, eSocialSciences.
  2. International Monetary Fund, 2005. "Monetary Policy and Corporate Behaviour in India," IMF Working Papers 05/25, International Monetary Fund.
  3. Reginaldo Pinto Nogueira, 2009. "Is monetary policy really neutral in the long-run? Evidence for some emerging and developed economies," Economics Bulletin, AccessEcon, vol. 29(3), pages 2432-2437.
  4. Erinc Yeldan & Hasan Cömert, 2008. "Interest Rate Smoothing and Macroeconomic Instability under Post-Capital Account Liberalization Turkey," Working Papers wp173, Political Economy Research Institute, University of Massachusetts at Amherst.

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