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Macroeconomic activity dynamics and Granger causality: New evidence from a small developing economy based on a vector error-correction modelling analysis

  • Masih, Rumi
  • Masih, Abul M. M.

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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 13 (1996)
Issue (Month): 3 (July)
Pages: 407-426

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Handle: RePEc:eee:ecmode:v:13:y:1996:i:3:p:407-426
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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  1. N. Gregory Mankiw, 1990. "A Quick Refresher Course in Macroeconomics," NBER Working Papers 3256, National Bureau of Economic Research, Inc.
  2. Wang, P. & Yip, C.K. & Scotese, C.A., 1991. "Fertility Choice and Economic Growth: Theory and Evidence," Papers 6-91-3, Pennsylvania State - Department of Economics.
  3. Abul M. M. Masih & Rumi Masih, 1994. "Temporal Causality Between Money and Prices in LDCs and the Error-Correction Approach: New Evidence from India," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 29(1), pages 33-35, January.
  4. Shiller, Robert J. & Perron, Pierre, 1985. "Testing the random walk hypothesis : Power versus frequency of observation," Economics Letters, Elsevier, vol. 18(4), pages 381-386.
  5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  6. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Impulse response analysis of cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 53-78, January.
  7. Ambler, Steve, 1989. "Does Money Matter in Canada? Evidence from a Vector Error Correction Model," The Review of Economics and Statistics, MIT Press, vol. 71(4), pages 651-58, November.
  8. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1987. "Stochastic Trends and Economic Fluctuations," NBER Working Papers 2229, National Bureau of Economic Research, Inc.
  9. Kamas, Linda & Joyce, Joseph P., 1993. "Money, income and prices under fixed exchange rates: Evidence from causality tests and VARs," Journal of Macroeconomics, Elsevier, vol. 15(4), pages 747-768.
  10. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
  11. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
  12. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-61, October.
  13. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
  14. Zellner, A., 1988. "Causality And Causal Laws In Economics," Papers m8801, Southern California - Department of Economics.
  15. Karras, Georgios, 1994. "Sources of business cycles in Europe: 1960-1988. Evidence from France, Germany, and the United Kingdom," European Economic Review, Elsevier, vol. 38(9), pages 1763-1778, December.
  16. McMillin, W Douglas, 1988. "Money Growth Volatility and the Macroeconomy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(3), pages 319-35, August.
  17. Christopher A. Sims, 1982. "Policy Analysis with Econometric Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1), pages 107-164.
  18. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
  19. Oxley, Les & McAleer, Michael, 1993. " Econometric Issues in Macroeconomic Models with Generated Regressors," Journal of Economic Surveys, Wiley Blackwell, vol. 7(1), pages 1-40.
  20. Rogers, J.H. & Wang, P., 1990. "Sources of Fluctuations in Relative Prices: Evidence from High Inflation Countries," Papers 12-90-2, Pennsylvania State - Department of Economics.
  21. Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, vol. 21(2), pages 161-194, February.
  22. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
  23. Robert J. Gordon & Stephen R. King, 1982. "The Output Cost of Disinflation in Traditional and Vector Autoregressive Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1), pages 205-244.
  24. Krol, Robert & Ohanian, Lee E., 1990. "The impact of stochastic and deterministic trends on money-output causality : A multi-country investigation," Journal of Econometrics, Elsevier, vol. 45(3), pages 291-308.
  25. Hiro Y. Toda & Peter C.B. Phillips, 1991. "Vector Autoregression and Causality," Cowles Foundation Discussion Papers 977, Cowles Foundation for Research in Economics, Yale University.
  26. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  27. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454, October.
  28. Masih, Abul M.M. Masih & Masih, Rumi, 1995. "Does Only Unanticipated Mone¬tary Growth Matter? An Econometric Investigation of Ten Asian Countries," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 48(4), pages 537-549.
  29. Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 201-12, August.
  30. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-42, October.
  31. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  32. Gordon, Robert J, 1990. "What Is New-Keynesian Economics?," Journal of Economic Literature, American Economic Association, vol. 28(3), pages 1115-71, September.
  33. Stock, James H. & Watson, Mark W., 1989. "Interpreting the evidence on money-income causality," Journal of Econometrics, Elsevier, vol. 40(1), pages 161-181, January.
  34. Masih , Abul M.M. & Masih, Rumi, 1994. "On the Robustness of Cointegration Tests of the Market Efficiency Hypothesis: Evidence from Six European Foreign Exchange Markets," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 47(2-3), pages 160-180.
  35. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
  36. Spencer, David E, 1989. "Does Money Matter? The Robustness of Evidence from Vector Autoregressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(4), pages 442-54, November.
  37. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
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