Money and prices: U.S. Data 1869-1914 (A study with directed graphs)
This paper reconsiders empirical evidence on relationships among money, income, nominal prices, and wheat prices. Error correction and directed acyclic graphs are used to study both lagged and contemporaneous relations in late 19th and early 20th century U.S. data. We summarize evidence supporting the view that money was a causal actor in price movement in this period. In the long run (at a five year horizon), over twenty percent of the movement in price is explained by earlier movements in money supply; whereas, wheat price accounts for less than ten percent of this movement. There is also evidence that money supply was not exogenous, as it was determined, in contemporaneous time, by movements in the general price level and income. About forty percent of the variation in money is explained by current or lagged prices and income. There remains considerable uncertainty with respect to role of wheat prices in this period. Innovations in wheat price explain over twenty five percent of the uncertainty in real income at the five year forecast horizon - suggesting wheat price as either causal or proxying for more fundamental causal forces in the U.S. economy over our period of analysis.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 27 (2002)
Issue (Month): 3 ()
|Note:||received: December 1999/Final version received: February 2001|
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/econometrics/journal/181/PS2|
When requesting a correction, please mention this item's handle: RePEc:spr:empeco:v:27:y:2002:i:3:p:427-446. 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: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.