New evidence on long-run monetary neutrality

Juncal Cuñado (), Luis Alberiko Gil-Alana () and Fernando Pérez de Gracia ()

Journal of Applied Economics, 2009, vol. XII, pages 229-248

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 Seater’s (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

Keywords: money neutrality; long memory; structural breaks (search for similar items in EconPapers)
JEL-codes: E40 E51 C32 (search for similar items in EconPapers)
Date: 2009
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Persistent link: http://EconPapers.repec.org/RePEc:cem:jaecon:v:12:y:2009:n:2:p:229-248

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