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New evidence on long-run monetary neutrality

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Abstract

This paper re-examines the issue of long-run monetary neutrality by using fractional integration and allowing for a possible structural break in six countries: the United States, the United Kingdom, Mexico, Brazil, Australia and Argentina. We use an extension of Fisher and Seaters (1993) reduced-form test recently proposed by Bae, Jensen and Murdock (2005). The results show that long-run monetary neutrality holds for five countries when no structural breaks

Suggested Citation

  • Juncal Cuñado & Luis Gil-Alana & Fernando Pérez de Gracia, 2009. "New evidence on long-run monetary neutrality," Journal of Applied Economics, Universidad del CEMA, vol. 12, pages 229-248, November.
    • Handle: RePEc:cem:jaecon:v:12:y:2009:n:2:p:229-248
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    Keywords

    money neutrality; long memory; structural breaks;
    All these keywords.

    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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