BIROn - Birkbeck Institutional Research Online

    Markov switching causality and the money-output relationship

    Ravn, M.O. and Sola, M. and Psaradakis, Zacharias (2005) Markov switching causality and the money-output relationship. Journal of Applied Econometrics 20 (5), pp. 665-683. ISSN 0883-7252.

    Full text not available from this repository.

    Abstract

    The causal link between monetary variables and output is one of the most studied issues in macroeconomics. One puzzle from this literature is that the results of causality tests appear to be sensitive with respect to the sample period that one considers. As a way of overcoming this difficulty, we propose a method for analysing Granger causality which is based on a vector autoregressive model with time‐varying parameters. We model parameter time‐variation so as to reflect changes in Granger causality, and assume that these changes are stochastic and governed by an unobservable Markov chain. When applied to US data, our methodology allows us to reconcile previous puzzling differences in the outcome of conventional tests for money–output causality.

    Metadata

    Item Type: Article
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 20 Jul 2020 16:46
    Last Modified: 20 Jul 2020 16:46
    URI: https://eprints.bbk.ac.uk/id/eprint/32614

    Statistics

    Downloads
    Activity Overview
    0Downloads
    86Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item