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Title: Revisiting money - output casuality from a Bayesian logistic smooth transition VECM perspective
Authors: Gefang, Deborah
First Published: Jan-2008
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
Type: Report
Appears in Collections:Reports, Dept. of Economics

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