Long-run monetary neutrality and the unit-root hypothesis: further international evidence

Noriega, Antonio E.

doi:10.1016/j.najef.2003.11.003

Cited by 14 publications

(20 citation statements)

References 44 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…A second group comprises Latin American countries, Argentina, Brazil, and Mexico, for which real output seems to follow a broken trend stationary model, while money remains stochastically nonstationary. Finally, for Italy the inclusion of breaks in the trend function does not alter the order of integration for money and output, already established by Noriega (2004) as I(1). Hence, the inclusion of breaks has affected the order of integration of 10 series, and, as we show below, will also affect LRN conclusions.…”

Section: Unit Roots and Structural Breaks In Money And Outputmentioning

confidence: 76%

“…See also Perron (2003). in this paper, since evidence in Noriega (2004) suggests that both money and output are integrated of order zero).…”

Section: Introductionmentioning

confidence: 74%

“…By allowing for broken trend functions we uncover the presence of structural breaks which alter (reduce) the order of integration of money and output, therefore modifying conclusions on LRN and long-run super neutrality (LRSN). We utilize the same data set as Noriega (2004), i.e., long annual data on real output and monetary aggregates for Argentina , Australia (1870Australia ( -1997, Brazil (1912-1995), Canada (1870), Italy (1870-1997, Mexico (1932Mexico ( -2000, Sweden (1871Sweden ( -1988, and the UK (1871-2000) (The cases of Denmark and the U.S are not analyzed 1 Empirical examples with macro time series can be found in Perron (1989Perron ( , 1992Perron ( , 1997, Lumsdaine and Papell (1997), Ohara (1999), Mehl (2000), Noriega and De Alba (2001), and Gil-Alana (2002); Perron and Vogelsang (1992), Culver and Papell (1995), and Aggarwal et.al. (2000) for real exchange rates; Raj (1992) and Zelhorst and Haan (1995), for real output; Clemente, et.…”

Section: Introductionmentioning

confidence: 99%

“…To motivate the issue of broken trends and monetary neutrality, consider the case of the U.K. Results in Serletis and Koustas (1998) and Noriega (2004), both based on the FS methodology, indicate that LRN does not hold for M4. This implies that a permanent stochastic shock to the level of money has a long lasting real effect on UK output.…”

Section: Introductionmentioning

confidence: 99%

“…We use as our starting point the results recently obtained in Noriega (2004) regarding the order of integration of money and output for the data set described above 4 . After a brief review of the FS methodology, we analyze in section 2, the behaviour of these orders of integration under different trend specifications, allowing for an increasing number of structural breaks in the long-run trend function under the alternative hypothesis.…”

Section: Introductionmentioning

confidence: 99%

See 4 more Smart Citations

International evidence on stochastic and deterministic monetary neutrality

2008

Self Cite

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractWe analyze the issue of the impact of multiple breaks on monetary neutrality results, using a long annual international data set. We empirically verify whether neutrality propositions remain addressable (and if so, whether they hold or not), when unit root tests are carried out allowing for multiple structural breaks in the long-run trend function of the variables. It is found that conclusions on neutrality are sensitive to the number and location of breaks. In order to interpret the evidence for structural breaks, we introduce a notion of deterministic monetary neutrality, which naturally arises in the absence of permanent stochastic shocks to the variables. Keywords: Deterministic and Stochastic Neutrality and Superneutrality of Money, Unit Roots, Structural Breaks, Resampling Methods. JEL Classification: C15, C32, E51, E52Resumen Este artículo analiza el impacto de cambios estructurales múltiples sobre resultados de neutralidad monetaria, utilizando una base de datos internacional. Investigamos empírica-mente si las proposiciones de neutralidad pueden ser verificables (y si lo son, si se mantienen o no), cuando las pruebas de raíz unitaria se aplican permitiendo cambios estructurales múltiples en la función de tendencia de largo plazo de las variables. Encontramos que las conclusiones sobre neutralidad son sensibles al número de cambios y a su localización en la muestra. Para interpretar la evidencia de cambios estructurales, introducimos una noción de neutralidad monetaria determinística, que surge naturalmente en ausencia de choques estocásticos permanentes en las variables. Palabras Clave: Neutralidad y súper neutralidad monetaria determinística y estocástica, Raíces unitarias, Cambios estructurales, Métodos de remuestreo.* With thanks to

show abstract

Section: Unit Roots and Structural Breaks In Money And Outputmentioning

confidence: 76%

“…See also Perron (2003). in this paper, since evidence in Noriega (2004) suggests that both money and output are integrated of order zero).…”

Section: Introductionmentioning

confidence: 74%