Econometric Models of Relationship among Money, Output and Prices

Rituparna Das

MPRA Paper from University Library of Munich, Germany

Abstract: This paper discusses the econometric models and tools like Granger causality and VAR discussed in ascertaining the relationship between money, output and prices. It found that Jha et al (2002) and Ahmed (2003) employed a VAR model accompanied by ECM and Johansen-Juselius procedure; others like Rangarajan et al (1990) employed simulation models containing regressions equations of variety of forms simple linear function and double logarithmic function, and also autoregressive equations of first order (AR1) and only Ray et al (1988) employed filters for prewhitening purpose i.e. making a nonstationary series stationary. The filter technique did not seem to be popular. Even Jha et al (2002) employed ADF test in order to detect the level of integration of the series and accordingly took measures to ensure stationarity.

Keywords: Granger; causality; Sims; vector autoregression; multiplier (search for similar items in EconPapers)
JEL-codes: B23 E0 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-mac
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