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|Title:||Revisiting money - output casuality from a Bayesian logistic smooth transition VECM perspective|
|Publisher:||Dept. of Economics, University of Leicester|
|Abstract:||This paper proposes a Bayesian approach to explore money-output causality within a logistic smooth transition VECM framework. Our empirical results provide substantial evidence that the postwar US money-output relationship is nonlinear, with regime changes mainly governed by the lagged inflation rates. More importantly, we obtain strong support for long-run non-causality and nonlinear Grangercausality from money to output. Furthermore, our impulse response analysis reveals that a shock to money appears to have negative accumulative impact on real output over the next fifty years, which calls for more caution when using money as a policy instrument.|
|Series/Report no.:||Papers in Economics|
|Appears in Collections:||Reports, Dept. of Economics|
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