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Citations for "Lag-Length Selection and Tests of Granger Causality between Money and Income"

by Thornton, Daniel L & Batten, Dallas S

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  1. Choudhry, T., 1998. "Another visit to the Cagan model of money demand: the latest Russian experience," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 355-376, April.
  2. Knot, Klaas & de Haan, Jakob, 1995. "Interest rate differentials and exchange rate policies in Austria, The Netherlands, and Belgium," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 363-386, May.
  3. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015. "“Sovereigns and banks in the euro area: a tale of two crises”," IREA Working Papers 201504, University of Barcelona, Research Institute of Applied Economics, revised Jan 2015.
  4. Kholdy, Shady & Sohrabian, Ahmad, 1995. "Testing for the relationship between nominal exchange rates and economic fundamentals," Global Finance Journal, Elsevier, vol. 6(2), pages 121-134.
  5. Malcolm Edey & Jill Pleban, 1991. "Indicators of Economic Activity: A Review," RBA Research Discussion Papers rdp9102, Reserve Bank of Australia.
  6. Masih, Abul M. M. & Masih, Rumi, 1997. "On the temporal causal relationship between energy consumption, real income, and prices: Some new evidence from Asian-energy dependent NICs Based on a multivariate cointegration/vector error-correctio," Journal of Policy Modeling, Elsevier, vol. 19(4), pages 417-440, August.
  7. Qazi Masood Ahmed & Mohammad Sabihuddin Butt & Shaista Alam, 2000. "Economic Growth, Export, and External Debt Causality: The Case of Asian Countries," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 39(4), pages 591-608.
  8. Muhammad Hussain, 1991. "Money, Income, and Causality: Some Evidence from Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 30(4), pages 907-918.
  9. Lukasz Marc, 2014. "The Causal Links between Aid and Government Expenditures," Tinbergen Institute Discussion Papers 14-012/V, Tinbergen Institute.
  10. Abdur Chowdhury, 1988. "Expenditures and receipts in state and local government finances: Comment," Public Choice, Springer, vol. 59(3), pages 277-285, December.
  11. Cara S. Lown & Donald W. Hayes, 1990. "Another look at the credit-output link," Working Papers 9001, Federal Reserve Bank of Dallas.
  12. Tsangyao Chang & WenRong Liu & Steven Caudill, 2004. "A re-examination of Wagner's law for ten countries based on cointegration and error-correction modelling techniques," Applied Financial Economics, Taylor & Francis Journals, vol. 14(8), pages 577-589.
  13. Li, Yushu, 2012. "Estimating Long Memory Causality Relationships by a Wavelet Method," Working Papers 2012:15, Lund University, Department of Economics.
  14. Sturm, Jan-Egbert & Jacobs, Jan & Groote, Peter, 1995. "Productivity impacts of infrastructure investment in the Netherlands 1853-1913," Research Report 95D30, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  15. Hu, Xiaoqiang, 1997. "Macroeconomic uncertainty and the risk premium in the foreign exchange market1," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 699-718, September.
  16. Ghura, Dhaneshwar, 1995. "Effects of macroeconomic policies on income growth, inflation, and output growth in Sub-Saharan Africa," Journal of Policy Modeling, Elsevier, vol. 17(4), pages 367-395, August.
  17. Robert E. Krider & Tieshan Li & Yong Liu & Charles B. Weinberg, 2005. "The Lead-Lag Puzzle of Demand and Distribution: A Graphical Method Applied to Movies," Marketing Science, INFORMS, vol. 24(4), pages 635-645, April.
  18. Bernd Hayo, 1998. "Money-Output Granger Causality Revisited: An Empirical Analysis of EU Countries," Macroeconomics 9809009, EconWPA.
  19. Maier, Philipp & Sturm, Jan-Egbert & de Haan, Jakob, 2002. "Political pressure on the Bundesbank: an empirical investigation using the Havrilesky approach," Journal of Macroeconomics, Elsevier, vol. 24(1), pages 103-123, March.
  20. JONATHAN D. JONES & NASIR M. KHIUl, 1988. "Money Growth, Inflation, and Causality (EmpiricalEvidence for Pakistan, 1973-1985)," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 27(1), pages 45-58.
  21. Aurangzeb, 2003. "Trade, Investment and Growth Nexus in Pakistan: An Application of Cointegration and Multivariate Causality Test," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 8(1), pages 119-137, Jan-June.
  22. Tsangyao Chang & Yuan-Hong Ho, 2002. "A Note on Testing ¡°Tax-and-Spend, Spend-and-Tax or Fiscal Synchronization¡±: The Case of China," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 27(1), pages 151-160, June.
  23. Simeonova-Ganeva, Ralitsa, 2006. "Влияние На Човешкия Капитал Върху Икономическия Растеж (България, 1949-2005 Г.)
    [The Impact of Human Capital on the Economic Growth (Bulgaria, 1949-2005)]
    ," MPRA Paper 37244, University Library of Munich, Germany.
  24. Darrat, Ali F & Glascock, John L, 1993. "On the Real Estate Market Efficiency," The Journal of Real Estate Finance and Economics, Springer, vol. 7(1), pages 55-72, July.
  25. Michael T. Belongia, 1991. "Monetary policy and the farm/nonfarm price ratio: a comparison of effects," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 30-46.
  26. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: A dynamic approach," Working Papers 11-06, Asociación Española de Economía y Finanzas Internacionales.
  27. R. W. Hafer & Scott E. Hein, 1986. "Federal government debt and inflation: evidence from Granger causality tests," Working Papers 1986-003, Federal Reserve Bank of St. Louis.
  28. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion," Economic Modelling, Elsevier, vol. 56(C), pages 133-147.
  29. P. S. Sephton, 2010. "Unit roots and purchasing power parity: another kick at the can," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3439-3453.
  30. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "On the bi-directional causal relationship between public debt and economic growth in EMU countries," Working Papers 15-06, Asociación Española de Economía y Finanzas Internacionales.
  31. Sturm, Jan-egbert & Jacobs, Jan & Groote, Peter, 1999. "Output Effects of Infrastructure Investment in the Netherlands, 1853-1913," Journal of Macroeconomics, Elsevier, vol. 21(2), pages 355-380, April.
  32. Aka, F.B. & Decaluwé, B., 1999. "Causality and Comovement between Tax Rate and Budget Deficits: Further Evidence from Developing Countries," Cahiers de recherche 9911, Université Laval - Département d'économique.
  33. Ghosh, Suvankar & Troutt, Marvin D. & Thornton, John H. & Felix Offodile, O., 2010. "An empirical method for assessing the research relevance gap," European Journal of Operational Research, Elsevier, vol. 201(3), pages 942-948, March.
  34. Shu-Ping Shi & Stan Hurn & Peter C. B. Phillips, 2016. "Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship," Cowles Foundation Discussion Papers 2059, Cowles Foundation for Research in Economics, Yale University.
  35. Justesen, Mogens K., 2008. "The effect of economic freedom on growth revisited: New evidence on causality from a panel of countries 1970-1999," European Journal of Political Economy, Elsevier, vol. 24(3), pages 642-660, September.
  36. Maier, Philipp & Bezoen, Saskia, 2004. "Bashing and supporting central banks: the Bundesbank and the European Central Bank," European Journal of Political Economy, Elsevier, vol. 20(4), pages 923-939, November.
  37. Bernard, John C. & Willett, Lois Schertz, 1994. "The Impact of Lag Determination on Price Relationships in the U.S. Broiler Industry," Staff Papers 121315, Cornell University, Department of Applied Economics and Management.
  38. Christian Bordes, 1991. "Variations de la vitesse et volatilité de la croissance monétaire : le cas français," Revue Économique, Programme National Persée, vol. 42(4), pages 733-744.
  39. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "Causality and Contagion in EMU Sovereign Debt Markets," Working Papers 14-03, Asociación Española de Economía y Finanzas Internacionales.
  40. Giorgia Palladini & Richard Portes, 2011. "Sovereign CDS and Bond Pricing Dynamics in the Euro-area," NBER Working Papers 17586, National Bureau of Economic Research, Inc.
  41. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2015. "The causal relationship between debt and growth in EMU countries," Journal of Policy Modeling, Elsevier, vol. 37(6), pages 974-989.
  42. Fuinhas, José Alberto & Marques, António Cardoso & Nogueira, David Coito, 2014. "Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA
    [Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach]
    ," MPRA Paper 62092, University Library of Munich, Germany, revised 10 Feb 2015.
  43. Hayo, Bernd, 1998. "Inflation culture, central bank independence and price stability," European Journal of Political Economy, Elsevier, vol. 14(2), pages 241-263, May.
  44. Muhammad Akmal, 1994. "The Production and Consumption of Livestock Foods in Pakistan: A Look into the Future," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 33(1), pages 19-39.
  45. Mookerjee, Rajen & Yu, Qiao, 1997. "Macroeconomic variables and stock prices in a small open economy: The case of Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 377-388, July.
  46. Eric Ghysels & Junghoon Seon, 2000. "The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors," CIRANO Working Papers 2000s-11, CIRANO.
  47. Dirk Engelmann & Jan Hanousek & Ev??en Kocenda, 2004. "Instability in Exchange Rates of the World Leading Currencies: Implications of a Spatial Competition Model among Central Banks," William Davidson Institute Working Papers Series 2004-686, William Davidson Institute at the University of Michigan.
  48. Taufiq Choudhry, 2002. "Money-Income Relationships between Three ERM Countries," Journal of Applied Economics, Universidad del CEMA, vol. 5, pages 59-94, May.
  49. Philipp Maier & Saskia Bezoen, 2002. "Central bank bashing: The case of the European Central Bank," MEB Series (discontinued) 2002-18, Netherlands Central Bank, Monetary and Economic Policy Department.
  50. Haslag, Joseph H. & Hein, Scott E., 1989. "Nominal GNP growth and adjusted reserve growth: nonnested tests of the St. Louis and Board measures," Working Papers 8914, Federal Reserve Bank of Dallas.
  51. Gerardo Licandro, 2000. "Is Mercosur an Optimal Currency Area? A shock correlation perspective," Documentos de trabajo 2000004, Banco Central del Uruguay.
  52. Wu, Man-Hwa & Ni, Yen-Sen, 2011. "The effects of oil prices on inflation, interest rates and money," Energy, Elsevier, vol. 36(7), pages 4158-4164.
  53. Jani Beko, 2002. "Foreign trade flows and economic activity in Slovenia - causality patterns from a transition episode," IWE Working Papers 132, Institute for World Economics - Centre for Economic and Regional Studies- Hungarian Academy of Sciences.
  54. Tang, Chor Foon, 2009. "Does causality technique matter to savings-growth nexus in Malaysia?," MPRA Paper 38535, University Library of Munich, Germany.
  55. Michaelides, Panayotis G. & Papageorgiou, Theofanis, 2012. "On the transmission of economic fluctuations from the USA to EU-15 (1960–2011)," Journal of Economics and Business, Elsevier, vol. 64(6), pages 427-438.
  56. Ardeni, Pier Giorgio & Rausser, Gordon C., 1992. "Interactions among money, exchange rates, and commodity prices," CUDARE Working Paper Series 621, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
  57. L'OEILLET, Guillaume & LICHERON, Julien, 2010. "The asymmetric relationship between oil prices and activity in the EMU: Does the ECB monetary policy play a role?," MPRA Paper 26203, University Library of Munich, Germany.
  58. R. W. Hafer & Richard G. Sheehan, 1987. "On the sensitivity of VAR forecasts to alternative lag structures," Working Papers 1987-004, Federal Reserve Bank of St. Louis.
  59. Benjamin Cheng, 1997. "The causality between dollar and pound: An application of cointegration and error-correction modeling," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(2), pages 19-26, June.
  60. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2013. "Granger-causality in peripheral EMU public debt markets: A dynamic approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4627-4649.
  61. Kocenda, Evzen, 1998. "Exchange rate in transition," MPRA Paper 32030, University Library of Munich, Germany.
  62. Aaltonen, J. & Östermark, R., 1997. "A rolling test of granger causality between the Finnish and Japanese security markets," Omega, Elsevier, vol. 25(6), pages 635-642, December.
  63. Dwight R. Sanders & Scott H. Irwin & Raymond M. Leuthold, 1996. "Noise Trader Demand in Futures Markets," Finance 9609001, EconWPA.
  64. Claude Deniau & Georges Fiori & Alexandre Mathis, 1992. "Sélection du nombre de retards dans un modèle VAR : conséquences éventuelles du choix des critères," Économie et Prévision, Programme National Persée, vol. 106(5), pages 61-69.
  65. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," Alea Tech Reports 010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
  66. Kamas, Linda, 1995. "Monetary policy and inflation under the crawling peg: Some evidence from VARs for Colombia," Journal of Development Economics, Elsevier, vol. 46(1), pages 145-161, February.
  67. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 137-164.
  68. Masih, Abul M. M. & Masih, Rumi, 1996. "Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques," Energy Economics, Elsevier, vol. 18(3), pages 165-183, July.
  69. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“EMU sovereign debt market crisis: Fundamentals-based or pure contagion?”," IREA Working Papers 201402, University of Barcelona, Research Institute of Applied Economics, revised May 2014.
  70. Weigand, Robert A., 1996. "Trading volume and firm size: A test of the information spillover hypothesis," Review of Financial Economics, Elsevier, vol. 5(1), pages 47-58.
  71. Kui-Wai Li, 1997. "Money and monetization in China's economic reform," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1139-1146.
  72. Michaelides, Panayotis G. & Papageorgiou, Theofanis & Vouldis, Angelos T., 2013. "Business cycles and economic crisis in Greece (1960–2011): A long run equilibrium analysis in the Eurozone," Economic Modelling, Elsevier, vol. 31(C), pages 804-816.
  73. Mookerjee, Rajen & Peebles, Gavin, 1998. "Endogenous money in China: Evidence and insights on recent policies," Journal of Asian Economics, Elsevier, vol. 9(1), pages 139-158.
  74. Daniel L. Thornton, 1998. "The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect," Working Papers 1998-009, Federal Reserve Bank of St. Louis.
  75. Dallas S. Batten & Daniel L. Thornton, 1985. "Weighted monetary aggregates as intermediate targets," Working Papers 1985-010, Federal Reserve Bank of St. Louis.
  76. Tang, Chor Foon, 2010. "The determinants of health expenditure in Malaysia: A time series analysis," MPRA Paper 24356, University Library of Munich, Germany.
  77. Alvaro Montenegro, 2004. "50 años del índice de precios en Colombia," DOCUMENTOS DE ECONOMÍA 001904, UNIVERSIDAD JAVERIANA - BOGOTÁ.
  78. repec:dgr:rugsom:95d30 is not listed on IDEAS
  79. Courtenay C. Stone & Daniel L. Thornton, 1987. "Solving the 1980s' velocity puzzle: a progress report," Review, Federal Reserve Bank of St. Louis, issue Aug, pages 5-23.
  80. Patilea, V. & Raïssi, H., 2013. "Corrected portmanteau tests for VAR models with time-varying variance," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 190-207.
  81. Yushu Li, 2015. "Estimate Long Memory Causality Relationship by Wavelet Method," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 531-544, April.
  82. Alikhanov, Murat & Taylor, Leon, 2013. "An algorithm for estimating the volatility of the velocity of money," MPRA Paper 49313, University Library of Munich, Germany.
  83. Looney, Robert E., 1997. "Infrastructure and private sector investment in Pakistan," Journal of Asian Economics, Elsevier, vol. 8(3), pages 393-420.
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