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Money And Income, Causality Detection

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  • Cheng Hsiao

Abstract

In this paper we intend to survey and suggest the theoretical framework of the important aspects of causality detection with the purpose of conveying to the reader the essential features and the different forms in which inferences may be drawn from given data. Section II presents the basic theorem characterizing the causality events and suggests two feedback detection methods which, like the one suggested by Pierce and Haugh (1977), are based on correlation analysis. In Section III we survey other well-known causality detection methods and try to relate and to compare them with the methods suggested in Section II. Section IV briefly reviews the theoretical controversy of the relationship between money and income and presents some empirical evidence based on the methods discussed in this paper. Conclusions are in Section V.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 0167.

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Date of creation: Mar 1977
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Publication status: published as Hsiao, Cheng. "Autoregressive Modelling And Money-Income Causality Detection," Journal of Monetary Economics, 1981, v7(1), 85-106.
Handle: RePEc:nbr:nberwo:0167

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  1. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
  2. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  3. Grether, D M & Maddala, G S, 1973. "Errors in Variables and Serially Correlated Disturbances in Distributed Lag Models," Econometrica, Econometric Society, vol. 41(2), pages 255-62, March.
  4. Philip Cagan, 1965. "Determinants and Effects of Changes in the Stock of Money, 1875-1960," NBER Books, National Bureau of Economic Research, Inc, number caga65-1, July.
  5. Tobin, James, 1970. "Money and Income: Post Hoc Ergo Propter Hoc?," The Quarterly Journal of Economics, MIT Press, vol. 84(2), pages 301-17, May.
  6. William C. Brainard & James Tobin, 1968. "Pitfalls in Financial Model-Building," Cowles Foundation Discussion Papers 244, Cowles Foundation for Research in Economics, Yale University.
  7. Pierce, David A. & Haugh, Larry D., 1977. "Causality in temporal systems : Characterization and a survey," Journal of Econometrics, Elsevier, vol. 5(3), pages 265-293, May.
  8. Wu, De-Min, 1973. "Alternative Tests of Independence Between Stochastic Regressors and Disturbances," Econometrica, Econometric Society, vol. 41(4), pages 733-50, July.
  9. Tobin, James, 1970. "Money and Income: Post Hoc Ergo Propter Hoc?: Rejoinder," The Quarterly Journal of Economics, MIT Press, vol. 84(2), pages 328-29, May.
  10. David A. Pierce & Larry D. Haugh, 1977. "Causality in temporal systems: characterizations and a survey," Special Studies Papers 87, Board of Governors of the Federal Reserve System (U.S.).
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Cited by:
  1. Robert T. Michael, 1978. "Causation Among Socioeconomic Time-Series," NBER Working Papers 0246, National Bureau of Economic Research, Inc.

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