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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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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 -