Please use this identifier to cite or link to this item:
Title: Assessing the causal relationship between Euro-area money and price in a time-varying environment
Authors: Hall, Stephen G.
Hondroyiannis, George
Swamy, P. A. V. B.
Tavlas, George S.
First Published: Sep-2009
Publisher: Dept. of Economics, University of Leicester
Abstract: The paper provides new evidence on the causal relationship between money and price for the euro area using quarterly data for the period 1980 to 2006, employing two alternative methods of estimation: the vector error correction (VEC) and time-varying coefficient (TVC) estimation techniques. The latter technique has the advantage over the former technique in that it can deal with possible specification biases and spurious relationships that may have arisen from structural changes. The empirical results from the VEC method reveal a bidirectional causal relationship between money and price. Contrary, the results from the TVC technique suggest that money is acting as an exogenous process determining the price level.
Series/Report no.: Papers in Economics
Type: Report
Appears in Collections:Reports, Dept. of Economics

Files in This Item:
File Description SizeFormat 
dp09-17[1].pdf187.02 kBAdobe PDFView/Open

Items in LRA are protected by copyright, with all rights reserved, unless otherwise indicated.