Seasonal Cointegration and Long-run Neutrality of Money in the USA

Hasan, Mohammad S (2011) Seasonal Cointegration and Long-run Neutrality of Money in the USA. Economic Notes, 40 (3). pp. 93-105. ISSN 0391-5026. (The full text of this publication is not available from this repository)

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Abstract

Using the notion of seasonal co-integration and a monetarist model, this paper re-examines the long-run monetary neutrality hypothesis, based on the seasonally unadjusted quarterly data of the US over the period 1959Q1 to 2004Q4. The results indicate that money is cointegrated with price at all possible frequencies while real output is cointegrated with price only at an annual frequency. The cointegration between money and price at the zero frequency, and noncointegration between real output and money at all possible frequencies, suggests that money affects nominal but not real variables in the long-run.

Item Type: Article
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Kasia Senyszyn
Date Deposited: 19 Oct 2011 14:31
Last Modified: 26 Apr 2012 09:26
Resource URI: http://kar.kent.ac.uk/id/eprint/28290 (The current URI for this page, for reference purposes)
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