期刊名称：Discussion Papers / University of Leicester, Department of Economics
出版年度：2009
卷号：2009
出版社：Leicester
摘要：The paper provides new evidence on the causal relationship between money and price
for the euro area using quarterly data for the period 1980 to 2006, employing two
alternative methods of estimation: the vector error correction (VEC) and time-varying
coefficient (TVC) estimation techniques. The latter technique has the advantage over
the former technique in that it can deal with possible specification biases and spurious
relationships that may have arisen from structural changes. The empirical results from
the VEC method reveal a bidirectional causal relationship between money and price.
Contrary, the results from the TVC technique suggest that money is acting as an
exogenous process determining the price level
关键词：Causality; VEC, time varying coefficient estimation; Euro area
