Testing the Long-Run Neutrality of Money:The Case of Japan, South Korea and Taiwan

Shyh-Wei Chen and Wen-Lin Hsu
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Shyh-Wei Chen: Department of Finance, Da-Yeh University, Taiwan
Wen-Lin Hsu: Department of Economics, Tunghai University, Taiwan

Journal of Economics and Management, 2009, vol. 5, issue 1, 1-27

Abstract: This paper examines the short-run and long-run neutrality of money using methodology suggested by King and Watson (1997) on quarterly data from South Korea and Taiwan (King and Watson (1997), Testing Long-Run Neutrality, Federal Reserve Bank of Richmond Economic Quarterly, 83(3), 69-103). A body of empirical evidence provides considerable support for the long-run neutrality of money with respect to real output in the case of South Korea, but does not support short-run neutrality. There is little evidence for short-run and long-run monetary neutrality for Taiwan. The possible reasons for this discrepancy include the different methodologies, particularly different measurement methods for money and sample periods.

Keywords: money neutrality; structural VAR; impulse response function (search for similar items in EconPapers)
JEL-codes: C32 E40 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:jec:journl:v:5:y:2009:i:1:p:1-27

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