IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v32y2000i1p25-37.html
   My bibliography  Save this article

Testing long-run neutrality using intra-year data

Author

Listed:
  • Kenneth Leong
  • Michael McAleer

Abstract

Previous tests of the long-run neutrality hypothesis have generally relied on annual time series data. This paper analyses the long-run neutrality of money in Australia using different sources of intra-year data, which permits an examination of the effects of seasonality and the robustness of previous empirical results. A reduced form ARIMA model is used with both quarterly seasonally unadjusted and adjusted Australian real GDP and nominal money supply to test the neutrality hypothesis. Using two measures of money stock, namely M1 and M3, it is shown that the hypothesis is supported using M1 as the measure of money supply, while it is rejected using M3. Recent trends and developments in the money and credit markets in Australia provide a possible explanation of the sensitivity of the outcome to the measure of money stock employed in the analysis.

Suggested Citation

  • Kenneth Leong & Michael McAleer, 2000. "Testing long-run neutrality using intra-year data," Applied Economics, Taylor & Francis Journals, vol. 32(1), pages 25-37.
    • Handle: RePEc:taf:applec:v:32:y:2000:i:1:p:25-37
    DOI: 10.1080/000368400322958
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/000368400322958
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/000368400322958?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
    2. Robert G. King & Mark W. Watson, 1997. "Testing long-run neutrality," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 69-101.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Habibullah, Muzafar & Hong, Puah & Mohamed, Azali, 2001. "Testing Long-Run Neutrality of Money in Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 35, pages 69-83.
    2. Tang, Maggie May-Jean, 2016. "A Review of the Literature on Monetary Neutrality," MPRA Paper 70113, University Library of Munich, Germany.
    3. Kuek, Tai Hock, 2016. "A Review of Literature on Monetary Neutrality - The case of India," MPRA Paper 71962, University Library of Munich, Germany, revised 13 Jun 2016.
    4. Tang, Maggie May-Jean & Puah, Chin-Hong & Awang Marikan, Dayang-Affizzah, 2013. "Empirical Evidence on the Long-Run Neutrality Hypothesis Using Divisia Money," MPRA Paper 50020, University Library of Munich, Germany.
    5. Cai, Yifei, 2016. "货币供给数量、结构与经济增长—来自adl门限协整检验与时变格兰杰因果关系检验的证据 [Quantity and Structure of Money Supply and Economic Growth— Evidence from ADL Test for Threshold Cointegration and Time-varying Granger Causality Relation," MPRA Paper 73750, University Library of Munich, Germany.
    6. Chin-Hong Puah, & Muzafar Shah Habibullah & Kian-Ping Lim, 2006. "Testing Long-Run Neutrality Of Money: Evidence From Malaysian Stock Market," The IUP Journal of Applied Economics, IUP Publications, vol. 0(4), pages 15-37, July.
    7. Chin-Hong PUAH,* & Muzafar Shah HABIBULLAH** & Shazali Abu MANSOR*, 2002. "Some Empirical Evidence On The Quantity Theoretic Proposition Of Money In Asean-5," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 18, pages 31-47.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Javier Gómez P., 1998. "La Demanda Por Dinero En Colombia," Borradores de Economia 2969, Banco de la Republica.
    2. SangKun Bae & Mark J. Jensen, 1998. "Long-Run Neutrality in a Long-Memory Model," Macroeconomics 9809006, University Library of Munich, Germany, revised 21 Apr 1999.
    3. Yang, Lijian & Park, Byeong U. & Xue, Lan & Hardle, Wolfgang, 2006. "Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1212-1227, September.
    4. Koop, Gary & Dijk, Herman K. Van, 2000. "Testing for integration using evolving trend and seasonals models: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 97(2), pages 261-291, August.
    5. repec:diw:diwwpp:dp351 is not listed on IDEAS
    6. Giovanni Gallipoli & Gianluigi Pelloni, 2013. "Macroeconomic Effects of Job Reallocations: A Survey," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 5(2), pages 127-176, December.
    7. Olekalns, Nilss, 1996. "Some further evidence on the long-run neutrality of money," Economics Letters, Elsevier, vol. 50(3), pages 393-398, March.
    8. Elizabeth Bucacos, 2008. "Real (effective) exchange rate in Uruguay: a periodic cointegration approach," Monetaria, CEMLA, vol. 0(2), pages 265-289, julio-sep.
    9. Jonathan Aylen & Kevin Albertson & Gina Cavan, 2014. "The impact of weather and climate on tourist demand: the case of Chester Zoo," Climatic Change, Springer, vol. 127(2), pages 183-197, November.
    10. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004. "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers 2004-14, Department of Economics and Business Economics, Aarhus University.
    11. Ashra, Sunil & Chattopadhyay, Saumen & Chaudhuri, Kausik, 2004. "Deficit, money and price: the Indian experience," Journal of Policy Modeling, Elsevier, vol. 26(3), pages 289-299, April.
    12. Paulo Rodrigues & Denise Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 985-1004.
    13. Chu, Quentin C. & Pittman, Deborah N. & Yu, Linda Q., 2003. "Real rates, nominal rates, and the Fisherian link," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 189-205.
    14. Beenstock, Michael & Reingewertz, Yaniv & Paldor, Nathan, 2016. "Testing the historic tracking of climate models," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1234-1246.
    15. Łukasz Lenart & Błażej Mazur, 2016. "On Bayesian Inference for Almost Periodic in Mean Autoregressive Models," FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making, in: Magdalena Osińska (ed.), Statistical Review, vol. 63, 2016, 3, edition 1, volume 63, chapter 1, pages 255-272, University of Lodz.
    16. Gali, Jordi, 1998. "The liquidity effect and long-run neutrality : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 195-206, December.
    17. Venky Venkateswaran & Randall Wright, 2014. "Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 227-270.
    18. Kano, Takashi, 2008. "A structural VAR approach to the intertemporal model of the current account," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 757-779, September.
    19. Yunus Aksoy & Miguel A. Leon-Ledesma, 2004. "Interest Rates and Output in the Long Run," Money Macro and Finance (MMF) Research Group Conference 2004 92, Money Macro and Finance Research Group.
    20. Christina D. Romer & David H. Romer, 1994. "What Ends Recessions?," NBER Chapters, in: NBER Macroeconomics Annual 1994, Volume 9, pages 13-80, National Bureau of Economic Research, Inc.
    21. Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2022. "Why So Low for So Long? A Long-Term View of Real Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 18(3), pages 47-87, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:32:y:2000:i:1:p:25-37. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.