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Testing the Long-Run Neutrality of Money:The Case of Japan, South Korea and Taiwan

Author

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  • Shyh-Wei Chen

    (Department of Finance, Da-Yeh University, Taiwan)

  • Wen-Lin Hsu

    (Department of Economics, Tunghai University, Taiwan)

Abstract

This paper examines the short-run and long-run neutrality of money using methodology suggested by King and Watson (1997) on quarterly data from South Korea and Taiwan (King and Watson (1997), Testing Long-Run Neutrality, Federal Reserve Bank of Richmond Economic Quarterly, 83(3), 69-103). A body of empirical evidence provides considerable support for the long-run neutrality of money with respect to real output in the case of South Korea, but does not support short-run neutrality. There is little evidence for short-run and long-run monetary neutrality for Taiwan. The possible reasons for this discrepancy include the different methodologies, particularly different measurement methods for money and sample periods.

Suggested Citation

  • Shyh-Wei Chen & Wen-Lin Hsu, 2009. "Testing the Long-Run Neutrality of Money:The Case of Japan, South Korea and Taiwan," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(1), pages 1-27, January.
  • Handle: RePEc:jec:journl:v:5:y:2009:i:1:p:1-27
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    More about this item

    Keywords

    money neutrality; structural VAR; impulse response function;

    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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