Panel cointegration and the neutrality of money
(2009) 2nd Italian Congress of Econometrics and Empirical Economics 36(1). p.1-26- Abstract
- Most econometric methods for testing the proposition of long-run monetary neutrality rely on the assumption that money and real output do not cointegrate, a result that is usually supported by the data. This paper argues that these results can be attributed in part to the low power of univariate tests, and that a violation of the noncointegration assumption is likely to result in a nonrejection of the neutrality proposition. To alleviate this problem, two new and more powerful panel cointegration tests are proposed that can be used under quite general conditions. The empirical results obtained from applying these tests to a panel covering ten countries between 1870 and 1986 suggest money and real output are cointegrated, and hence that the... (More)
- Most econometric methods for testing the proposition of long-run monetary neutrality rely on the assumption that money and real output do not cointegrate, a result that is usually supported by the data. This paper argues that these results can be attributed in part to the low power of univariate tests, and that a violation of the noncointegration assumption is likely to result in a nonrejection of the neutrality proposition. To alleviate this problem, two new and more powerful panel cointegration tests are proposed that can be used under quite general conditions. The empirical results obtained from applying these tests to a panel covering ten countries between 1870 and 1986 suggest money and real output are cointegrated, and hence that the neutrality proposition must be rejected. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1312247
- author
- Westerlund, Joakim LU and Costantini, Mauro
- organization
- publishing date
- 2009
- type
- Chapter in Book/Report/Conference proceeding
- publication status
- published
- subject
- keywords
- Monetary neutrality, Panel cointegration testing
- host publication
- Empirical Economics
- volume
- 36
- issue
- 1
- pages
- 1 - 26
- publisher
- Physica Verlag
- conference name
- 2nd Italian Congress of Econometrics and Empirical Economics
- conference dates
- 2007-01-25 - 2007-01-26
- external identifiers
-
- wos:000262671500001
- scopus:58949095056
- ISSN
- 0377-7332
- DOI
- 10.1007/s00181-007-0181-y
- language
- English
- LU publication?
- yes
- id
- dc4a629e-e624-4775-be3e-7ef221268028 (old id 1312247)
- date added to LUP
- 2016-04-01 14:52:55
- date last changed
- 2022-03-06 21:41:46
@inproceedings{dc4a629e-e624-4775-be3e-7ef221268028,
abstract = {{Most econometric methods for testing the proposition of long-run monetary neutrality rely on the assumption that money and real output do not cointegrate, a result that is usually supported by the data. This paper argues that these results can be attributed in part to the low power of univariate tests, and that a violation of the noncointegration assumption is likely to result in a nonrejection of the neutrality proposition. To alleviate this problem, two new and more powerful panel cointegration tests are proposed that can be used under quite general conditions. The empirical results obtained from applying these tests to a panel covering ten countries between 1870 and 1986 suggest money and real output are cointegrated, and hence that the neutrality proposition must be rejected.}},
author = {{Westerlund, Joakim and Costantini, Mauro}},
booktitle = {{Empirical Economics}},
issn = {{0377-7332}},
keywords = {{Monetary neutrality; Panel cointegration testing}},
language = {{eng}},
number = {{1}},
pages = {{1--26}},
publisher = {{Physica Verlag}},
title = {{Panel cointegration and the neutrality of money}},
url = {{http://dx.doi.org/10.1007/s00181-007-0181-y}},
doi = {{10.1007/s00181-007-0181-y}},
volume = {{36}},
year = {{2009}},
}