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

Gefang, D (2012) Money-output causality revisited - a Bayesian logistic smooth transition VECM perspective. Oxford Bulletin of Economics and Statistics, 74 (1). pp. 131-151. ISSN 0305-9049

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    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.

    Item Type: Article
    Journal or Publication Title: Oxford Bulletin of Economics and Statistics
    Uncontrolled Keywords: C11 ; C32 ; E42 ; E52
    Subjects:
    Departments: Lancaster University Management School > Economics
    ID Code: 45773
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2011 19:37
    Refereed?: Yes
    Published?: Published
    Last Modified: 09 Apr 2014 22:36
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/45773

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