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Money-output causality revisited - a Bayesian logistic smooth transition VECM perspective

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>02/2012
<mark>Journal</mark>Oxford Bulletin of Economics and Statistics
Issue number1
Volume74
Number of pages21
Pages (from-to)131-151
Publication statusPublished
Original languageEnglish

Abstract

This article proposes a Bayesian approach to examining money-output causality within the context of a logistic smooth transition vector error correction model. Our empirical results provide substantial evidence that the postwar US money-output relationship is nonlinear, with regime changes mainly governed by the output growth and price levels. Furthermore, we obtain strong support for nonlinear Granger causality from money to output, although there is also some evidence for models indicating that money is not Granger causal or long-run causal to output.