Money-output Granger causality revisited: an empirical analysis of EU countries
Bernd Hayo ()
Applied Economics, 1999, vol. 31, issue 11, 1489-1501
In this paper, the evidence collected in the large literature on testing for Granger-causality from money to output is revisited. Using a broad data base of 14 EU countries plus Canada, the US and Japan, and quarterly data from the mid 1960s to mid 1990s, a number of hypotheses from this literature is evaluated. It is found that very few general conclusions can be sustained. For instance, in most countries it is not the case that the use of data in levels creates a bias in favour of finding Granger-causality effects of money on output compared to using differences. Neither does the significance of money lags decline when increasing the number of variables included in the model. What appears to be robust, though, is that allowing for asymmetries clearly increases the likelihood of finding significant causality effects. Based on the Granger-causality test results, a number of country groups are obtained using cluster analysis, which are characterized by a similarly behaviour with respect to the money-output relation.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: Money-Output Granger Causality Revisited: An Empirical Analysis of EU Countries (1998)
Working Paper: Money-output Granger causality revisited: An empirical analysis of EU countries (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:31:y:1999:i:11:p:1489-1501
Ordering information: This journal article can be ordered from
Access Statistics for this article
Applied Economics is currently edited by Anita Phillips
More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().