IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v35y2003i10p1219-1225.html
   My bibliography  Save this article

Modelling money, price and output in India: a vector autoregressive and moving average (VARMA) approach

Author

Listed:
  • Samarjit Das

Abstract

The present study has two purposes. First, the study examines the most substantive and debatable question: Is there any long-run relationship among money, price and output? It has been found by applying different tests of cointegration that there is no long-run relationship among these three variables in cointegration sense. Second, having ascertained that the variables under study are not cointegrated, an attempt is made to explore the short-run relationship among money, price and output exploiting the characteristics of the Vector Autoregressive and Moving Average (VARMA) model. Sub-set concept has been used to identify the best-fitted VARMA model. The paper concludes the following: (i) both money and price affect each other and there exists bi-directional causality; (ii) output affects price and there is also feedback between price and output; and (iii) money unidirectionally affects output. Various consequences of cointegration on parameter estimates of pure VAR/VARMA in difference have been discussed. Here it may be mentioned that pure VAR/VARMA in differences is not misspecified, as it could have been otherwise in the case where variables are cointegrated. However, as VARMA is more parsimonious than VAR, the VARMA model has been considered here. Attention has been paid regarding the proper transformations of the variables.

Suggested Citation

  • Samarjit Das, 2003. "Modelling money, price and output in India: a vector autoregressive and moving average (VARMA) approach," Applied Economics, Taylor & Francis Journals, vol. 35(10), pages 1219-1225.
  • Handle: RePEc:taf:applec:v:35:y:2003:i:10:p:1219-1225
    DOI: 10.1080/0003684032000090726
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/0003684032000090726
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Laurence Ball & Anusha Chari & Prachi Mishra, 2016. "Understanding Inflation in India," NBER Working Papers 22948, National Bureau of Economic Research, Inc.
    2. Lee, Chin, 2013. "The Role of Macroeconomic Fundamentals in Malaysian Post Recession Growth," MPRA Paper 44808, University Library of Munich, Germany.
    3. Sa-ngasoongsong, Akkarapol & Bukkapatnam, Satish T.S. & Kim, Jaebeom & Iyer, Parameshwaran S. & Suresh, R.P., 2012. "Multi-step sales forecasting in automotive industry based on structural relationship identification," International Journal of Production Economics, Elsevier, vol. 140(2), pages 875-887.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:35:y:2003:i:10:p:1219-1225. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.