Econometric Models of Relationship among Money, Output and Prices
AbstractThis paper discusses the econometric models and tools like Granger causality and VAR discussed in ascertaining the relationship between money, output and prices. It found that Jha et al (2002) and Ahmed (2003) employed a VAR model accompanied by ECM and Johansen-Juselius procedure; others like Rangarajan et al (1990) employed simulation models containing regressions equations of variety of forms simple linear function and double logarithmic function, and also autoregressive equations of first order (AR1) and only Ray et al (1988) employed filters for prewhitening purpose i.e. making a nonstationary series stationary. The filter technique did not seem to be popular. Even Jha et al (2002) employed ADF test in order to detect the level of integration of the series and accordingly took measures to ensure stationarity.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 22884.
Date of creation: 2010
Date of revision:
Granger; causality; Sims; vector autoregression; multiplier;
Find related papers by JEL classification:
- E0 - Macroeconomics and Monetary Economics - - General
- B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.