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Is Money Neutral? Some Evidence for Italy

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  • Gianluca Cubadda

    (Universita di Roma)

  • Domenico Mignacca

    (Universita di Ancona)

Abstract

The aim of this paper is to verify the hypothesis of money neutrality in the Italian experience. After a critical overview of the traditional techniques employed to verify this hypothesis, cointegration technique is used to verify: long-run neutrality, weak evidence of long-run superneutrality but absence of hyperneutrality. The absence of hyperneutrality implies that an acceleration of the growth rate of money affects real output.

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Bibliographic Info

Paper provided by EconWPA in its series International Finance with number 9410001.

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Date of creation: 20 Oct 1994
Date of revision: 09 Nov 1994
Handle: RePEc:wpa:wuwpif:9410001

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  1. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 25(1), pages 49-99, January.
  2. Fisher, Mark E & Seater, John J, 1993. "Long-Run Neutrality and Superneutrality in an ARIMA Framework," American Economic Review, American Economic Association, vol. 83(3), pages 402-15, June.
  3. Sargent, Thomas J, 1976. "A Classical Macroeconometric Model for the United States," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 84(2), pages 207-37, April.
  4. Buiter, Willem H., 1983. "Real effects of anticipated and unanticipated money : Some problems of estimation and hypothesis testing," Journal of Monetary Economics, Elsevier, vol. 11(2), pages 207-224.
  5. Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July.
  6. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  7. McCallum, Bennett T, 1979. "On the Observational Inequivalence of Classical and Keynesian Models," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 87(2), pages 395-402, April.
  8. Barro, Robert J, 1978. "Unanticipated Money, Output, and the Price Level in the United States," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 86(4), pages 549-80, August.
  9. Warne, A. & Bergman, M., 1993. "Money-Income Causality and the Neutrality of Money," Papers 557, Stockholm - International Economic Studies.
  10. Johansen, Søren, 1995. "A Stastistical Analysis of Cointegration for I(2) Variables," Econometric Theory, Cambridge University Press, vol. 11(01), pages 25-59, February.
  11. Dickey, David A & Pantula, Sastry G, 2002. "Determining the Order of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 18-24, January.
  12. Mosconi, Rocco & Giannini, Carlo, 1992. "Non-causality in Cointegrated Systems: Representation Estimation and Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 399-417, August.
  13. Toda, Hiro Y & Phillips, Peter C B, 1993. "Vector Autoregressions and Causality," Econometrica, Econometric Society, Econometric Society, vol. 61(6), pages 1367-93, November.
  14. Hiro Y. Toda & Peter C.B. Phillips, 1991. "Vector Autoregression and Causality: A Theoretical Overview and Simulation Study," Cowles Foundation Discussion Papers 1001, Cowles Foundation for Research in Economics, Yale University.
  15. King, Robert G & Plosser, Charles I, 1984. "Money, Credit, and Prices in a Real Business Cycle," American Economic Review, American Economic Association, vol. 74(3), pages 363-80, June.
  16. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
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