Sufficient cointegration and Wald tests of the monetary transmission mechanism

R. D. Rossiter and Chulho Jung

Applied Economics Letters, 1999, vol. 6, issue 8, 501-503

Abstract: This letter re-examines the role of commercial loans versus demand deposits in the monetary transmission mechanism using short-run and long-run sequential causality testing procedures designed by Toda and Phillips. Empirical results support the credit view that bank loans are as good a predictor of income as demand deposits.

Date: 1999
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DOI: 10.1080/135048599352817

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