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The long-horizon regression approach to monetary neutrality: how should the evidence be interpreted?

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  • Coe, Patrick J.
  • Nason, James M.

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  • Coe, Patrick J. & Nason, James M., 2003. "The long-horizon regression approach to monetary neutrality: how should the evidence be interpreted?," Economics Letters, Elsevier, vol. 78(3), pages 351-356, March.
  • Handle: RePEc:eee:ecolet:v:78:y:2003:i:3:p:351-356
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    References listed on IDEAS

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    1. Olekalns, Nilss, 1996. "Some further evidence on the long-run neutrality of money," Economics Letters, Elsevier, vol. 50(3), pages 393-398, March.
    2. Boschen, John F & Otrok, Christopher M, 1994. "Long-Run Neutrality and Superneutrality in an ARIMA Framework: Comment," American Economic Review, American Economic Association, vol. 84(5), pages 1470-1473, December.
    3. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Oxford University Press, vol. 61(4), pages 631-653.
    4. Lucas, Robert E, Jr, 1996. "Nobel Lecture: Monetary Neutrality," Journal of Political Economy, University of Chicago Press, vol. 104(4), pages 661-682, August.
    5. Andrews, Donald W K, 1989. "Power in Econometric Applications," Econometrica, Econometric Society, pages 1059-1090.
    6. James B. Bullard, 1999. "Testing long-run monetary neutrality propositions: lessons from the recent research," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 57-77.
    7. 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 402-415, June.
    8. Serletis, Apostolos & Krause, David, 1996. "Empirical evidence on the long-run neutrality hypothesis using low-frequency international data," Economics Letters, Elsevier, vol. 50(3), pages 323-327, March.
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    Citations

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    Cited by:

    1. Gary L. Shelley & Frederick H. Wallace, 2004. "Long Run Effects of Money on Real Consumption and Investment in the U.S," Macroeconomics 0404007, EconWPA, revised 06 Apr 2004.
    2. Gary Shelley & Frederick Wallace, 2005. "The relation between U.S. money growth and inflation: evidence from a band-pass filter," Economics Bulletin, AccessEcon, vol. 5(8), pages 1-13.
    3. Serletis, Apostolos & Gogas, Periklis, 2004. "Long-horizon regression tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1961-1985, August.
    4. repec:ebl:ecbull:v:3:y:2007:i:64:p:1-18 is not listed on IDEAS
    5. Shyh-Wei Chen, 2007. "Evidence of the Long-Run Neutrality of Money: The Case of South Korea and Taiwan," Economics Bulletin, AccessEcon, vol. 3(64), pages 1-18.
    6. Bae, Sang-Kun & Jensen, Mark J. & Murdock, Scott G., 2005. "Long-run neutrality in a fractionally integrated model," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 257-274, June.
    7. Cai, Yifei, 2016. "货币供给数量、结构与经济增长—来自adl门限协整检验与时变格兰杰因果关系检验的证据
      [Quantity and Structure of Money Supply and Economic Growth— Evidence from ADL Test for Threshold Cointegration and Time-varying Granger Causality Relation
      ," MPRA Paper 73750, University Library of Munich, Germany.
    8. Frederick H.Wallace & Gary L. Shelley, 2007. "Long Run Neutrality of Money in Mexico," Economía Mexicana NUEVA ÉPOCA, , vol. 0(2), pages 219-238, July-Dece.
    9. Wallace, Frederick H. & Shelley, Gary L., 2006. "An alternative test of purchasing power parity," Economics Letters, Elsevier, vol. 92(2), pages 177-183, August.
    10. repec:ebl:ecbull:v:5:y:2005:i:8:p:1-13 is not listed on IDEAS
    11. Antonio E. Noriega & Daniel Ventosa-Santaulària, 2010. "Spurious Long-Horizon Regression in Econometrics," Working Papers 2010-06, Banco de México.
    12. 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.
    13. Wallace, Fred & Cabrera-Castellanos, Luis F., 2006. "Neutralidad monetaria a Largo plazo: El caso de Guatemala
      [Long Run Money Neutrality in Guatemala]
      ," MPRA Paper 4025, University Library of Munich, Germany, revised 2006.
    14. Ventosa-Santaulària, Daniel & Noriega, Antonio E., 2015. "Long-run monetary neutrality under stochastic and deterministic trends," Economic Modelling, Elsevier, vol. 47(C), pages 372-382.
    15. Noriega, Antonio E., 2004. "Long-run monetary neutrality and the unit-root hypothesis: further international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 179-197, August.

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