Testing Neutrality of Money for Nigeria: A Nonparametric Cointegration Approach
This paper uses nonparametric integration and cointegration procedures to test the neutrality hypothesis for Nigeria. The broad money supply series (M2) is decomposed into anticipated and unanticipated components using the Hodrick-Prescott filter. The Breitung and Lobato-Robinson nonparametric unit root methodologies are used to determine the time series properties of real output, inflation, anticipated and unanticipated broad money supply. The data covers the period from 1970:1 through 2002:4. The cointegration test is conducted through Breitung's (2002) nonparametric cointegration technique. The unit root tests indicate that real output, inflation, anticipated and unanticipated broad money supply have one order of integration. The results from Breitung's (2002) study provide evidence in support of the long-run relationship between unanticipated money and real output on one hand and between unanticipated money and inflation on the other. The null hypothesis of no cointegration between anticipated money and real output could not be rejected. The finding that unanticipated money is cointegrated with real output is consistent with the rational expectations hypothesis. From a policy perspective, the results suggest that the effect of monetary policy in Nigeria depends on whether it is anticipated or unanticipated.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
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.
Volume (Year): III (2005)
Issue (Month): 4 (November)
|Contact details of provider:|| |
When requesting a correction, please mention this item's handle: RePEc:icf:icfjmo:v:03:y:2005:i:4:p:16-25. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (G R K Murty)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.