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  • 标题:Assessing the Causal Relationship between Euro-Area Money and Price in a Time-Varying Environment
  • 本地全文:下载
  • 作者:Stephen G.Hall ; George Hondroyiannis ; P.A.V.B. Swamy
  • 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.

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