کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5053929 | 1476521 | 2015 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Long-run monetary neutrality under stochastic and deterministic trends
ترجمه فارسی عنوان
بی طرفی پولی بلند مدت در مسیرهای تصادفی و قطعی
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper studies long-run monetary neutrality when long-horizon regressions (LHR) are used as a vehicle to test it. We assume that money and/or output can be generated according to widely used persistent models. We combine these specifications and study the divergence rate of the t-statistic as an indication of a spurious relationship between money and output, and show that the presence of spurious evidence of non-neutrality is highly likely. We then propose a correct inferential procedure for testing the null hypothesis of no relationship in a LHR (finite-sample and asymptotic evidence supports the procedure). The latter is then applied to an international data set on money and output in order to test for long-run monetary neutrality. We find that neutrality holds for all countries.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 47, June 2015, Pages 372-382
Journal: Economic Modelling - Volume 47, June 2015, Pages 372-382
نویسندگان
Daniel Ventosa-Santaulà ria, Antonio E. Noriega,