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

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Money-output causality revisited - a Bayesian logistic smooth transition VECM perspective. / Gefang, D.
In: Oxford Bulletin of Economics and Statistics, Vol. 74, No. 1, 02.2012, p. 131-151.

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Gefang D. Money-output causality revisited - a Bayesian logistic smooth transition VECM perspective. Oxford Bulletin of Economics and Statistics. 2012 Feb;74(1):131-151. doi: 10.1111/j.1468-0084.2011.00652.x

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Gefang, D. / Money-output causality revisited - a Bayesian logistic smooth transition VECM perspective. In: Oxford Bulletin of Economics and Statistics. 2012 ; Vol. 74, No. 1. pp. 131-151.

Bibtex

@article{b33a13cda5bb4a36a66d3b81eaceef41,
title = "Money-output causality revisited - a Bayesian logistic smooth transition VECM perspective",
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.",
keywords = "C11, C32 , E42 , E52",
author = "D Gefang",
year = "2012",
month = feb,
doi = "10.1111/j.1468-0084.2011.00652.x",
language = "English",
volume = "74",
pages = "131--151",
journal = "Oxford Bulletin of Economics and Statistics",
issn = "0305-9049",
publisher = "Wiley-Blackwell",
number = "1",

}

RIS

TY - JOUR

T1 - Money-output causality revisited - a Bayesian logistic smooth transition VECM perspective

AU - Gefang, D

PY - 2012/2

Y1 - 2012/2

N2 - 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.

AB - 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.

KW - C11

KW - C32

KW - E42

KW - E52

U2 - 10.1111/j.1468-0084.2011.00652.x

DO - 10.1111/j.1468-0084.2011.00652.x

M3 - Journal article

VL - 74

SP - 131

EP - 151

JO - Oxford Bulletin of Economics and Statistics

JF - Oxford Bulletin of Economics and Statistics

SN - 0305-9049

IS - 1

ER -