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  • 标题:Revisiting money-output causality from a Bayesian logistic smooth transition VECM perspective
  • 本地全文:下载
  • 作者:Deborah Gefang
  • 期刊名称:Discussion Papers / University of Leicester, Department of Economics
  • 出版年度:2008
  • 卷号:2008
  • 出版社:Leicester
  • 摘要:

    This paper proposes a Bayesian approach to explore money-output causality within a logistic smooth transition VECM framework. Our empirical results provide substantial evidence that the postwar US money-output relationship is nonlinear, with regime changes mainly governed by the lagged inflation rates. More importantly, we obtain strong support for long-run non-causality and nonlinear Granger-causality from money to output. Furthermore, our impulse response analysis reveals that a shock to money appears to have negative accumulative impact on real output over the next fifty years, which calls for more caution when using money as a policy instrument.

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