Revisiting the Temporal Causality between Money and Income
AbstractThe paper revisits the ever enduring question of whether â"money matters". The study uses the Sims' (1972) methodology over the quarterly time-series data spanning fifty years post World War II for the U.S. economy. The results indicate bi-directional causality between money and income. When we apply Granger Causality tests we find that income Granger causes money. The causality disappears when we add interest rates. Next when we use an Error Correction Model the results of the traditional Granger causality tests hold true in the bivariate system. But, we observe bi-causality under longer lag specifications, and when extra variables are added.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by University of Pretoria, Department of Economics in its series Working Papers with number 200501.
Length: 22 pages
Date of creation: Aug 2005
Date of revision:
Causality; Error Correction Models;
Find related papers by JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statistics
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rangan Gupta).
If references are entirely missing, you can add them using this form.