Publication Type
Journal Article
Version
publishedVersion
Publication Date
11-1997
Abstract
This paper examines the impact on the money-output correlation of a univariate specification that allows time series to be characterized as stationary around a broken trend function. Though pretesting suggests that U.S. real output (industrial production) can be described as broken-trend stationary, this result has only limited impact on the money-output correlation. Before 1985 there is a strong Granger causal relationship between money and broken-detrended output (hut not first-differenced output), even when different short-term interest rates are used as regressors. However, after 1985 this relationship weakens significantly, whether or not one determines that output has a unit root.
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
Publication
Review of Economics and Statistics
Volume
79
Issue
4
First Page
674
Last Page
679
ISSN
0034-6535
Identifier
10.1162/003465397557097
Publisher
Massachusetts Institute of Technology Press
Citation
FERNANDEZ, David.
Breaking trends and the money-output correlation. (1997). Review of Economics and Statistics. 79, (4), 674-679.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6895
Copyright Owner and License
Publisher
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1162/003465397557097