Money and output viewed through a rolling window.pdfVIP

下载本文档

7
0
约5.44万字
约 19页
2017-03-16 发布于天津
举报
版权申诉

Money and output viewed through a rolling window.pdf

1、本文档共19页，可阅读全部内容。
2、原创力文档（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。
3、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击这里二次下载。
4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。
5、该文档为VIP文档，如果想要下载，成为VIP会员后，下载免费。
6、成为VIP后，下载本文档将扣除1次下载权益。下载后，不支持退款、换文档。如有疑问请联系我们。
7、成为VIP后，您将拥有八大权益，权益包括：VIP文档下载权益、阅读免打扰、文档格式转换、高级专利检索、专属身份标志、高级客服、多端互通、版权登记。
8、VIP文档为合作方或网友上传，每下载1次，网站将根据用户上传文档的质量评分、类型等，对文档贡献者给予高额补贴、流量扶持。如果你也想贡献VIP文档。上传文档

Money and output viewed through a rolling window.pdf

Journal of Monetary Economics 41 (1998) 455—473 Money and output viewed through a rolling window Norman R. Swanson* Department of Economics, Pennsylvania State University, University Park, PA 16802, USA Received 21 April 1995; received in revised form 16 September 1997; accepted 2 October 1997 Abstract We examine the extent to which ?uctuations in the money stock anticipate (or Granger cause) ?uctuations in real output using a variety of rolling window and increasing window estimation techniques. Various models are considered using simple sum as well as Divisia measures of M1 and M2, income, prices, and both the T-bill rate and the commercial paper rate. Findings indicate that the relation between income, money, prices, and interest rates is stable, as long as su?cient data are used, and that there is cointegration among the variables considered, although cointegration spaces become very di?cult to estimate precisely when smaller windows of data are used. Further, both M1 and M2 are shown to be important predictors of income for the entire period from 1960:2—1996:3, based on modi?ed versions of what we term the ‘most damaging’ speci?cations from Friedman and Kuttner (1993) and Thoma (1994). Our new evidence is based in part on a rather novel model selection approach to examining the relationship between money and income. 1998 Elsevier Science B.V. All rights reserved. JEL classi?cation: C22; C32; C53; E52 Keywords: Schwarz information criterion; Cointegration; Prediction; Causation 1. Introduction An issue of continuing interest among economic theorists and policy makers is the extent to which ?uctuations in the money stock anticipate ?uctuations in real income. Since the reconsideration of monetarism by Sims (1980), a great * E-mail: nswanson@psu.edu 0304-3932/98/$19.00 1998 Elsevier Science B.V. All rights reserved. PII S 0 3 0 4 - 3 9 3 2 ( 9 8 ) 0 0 0 0 5 - 1 456 N.R. Swanson / Journal of Monetary Economics 41 (1998) 455—473 number of papers have attempted to an