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Evidence of the Long-Run Neutrality of Money: The Case of South Korea and Taiwan

  • Shyh-Wei Chen

    ()

    (Department of Finance, Dayeh University)

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    This paper investigates the long-run neutrality of money using quarterly data of South Korea and Taiwan and the methodology of King and Watson (1997) particular attention is given to the integration and cointegration properties of the variables. Empirical evidence provides considerable support for the long-run neutrality of money with respect to real output in the case of South Korea, indicating that it is consistent with two of the business cycle, i.e, the monetary intertemporal model and the monetary misperceptions theory. There is little evidence that the long-run monetary neutrality hypothesis holds in the case of Taiwan. Based on the estimated results, the hypothesis of the short-run neutrality of money is rejected for both countries.

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    File URL: http://www.accessecon.com/pubs/EB/2007/Volume3/EB-07C30067A.pdf
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    Article provided by AccessEcon in its journal Economics Bulletin.

    Volume (Year): 3 (2007)
    Issue (Month): 64 ()
    Pages: 1-18

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    Handle: RePEc:ebl:ecbull:eb-07c30067
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    18. Patrick J. Coe & James M. Nason, 2004. "Long-run monetary neutrality and long-horizon regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 355-373.
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