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International Evidence on the Neutrality of Money

Author

Listed:
  • Serletis, A
  • Moustas, Z

Abstract

We use Backus and Kehoe (1992) long, low frequency data on real GNP/GDP and money for Australia, Canada, Denmark, Germany, Italy, Japan, Norway, Sweden, the United Kingdom and the Uniter States to examine the long-run neutrality and superneutrality of money propositions. In doing so, we apply the King and Watson (1992) methodology, paying particular attention to the integration and cointegration properties of the variable, since meaningful neutrality tests critically depend on such properties.

Suggested Citation

  • Serletis, A & Moustas, Z, 1997. "International Evidence on the Neutrality of Money," Papers 9704, Calgary - Department of Economics.
  • Handle: RePEc:fth:calgar:9704
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    References listed on IDEAS

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    1. Prescott, Edward C., 1986. "Theory ahead of business-cycle measurement," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 11-44, January.
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    8. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
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    More about this item

    Keywords

    MONEY; INTEREST RATE; MONETARY POLICY; CENTRAL BANKS; CREDIT; MONEY SUPPLY;

    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - 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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