International evidence on stochastic and deterministic monetary neutrality

Arbeitspapier

We analyze the issue of the impact of multiple breaks on monetary neutrality results, using a long annual international data set. We empirically verify whether neutrality propositions remain addressable (and if so, whether they hold or not), when unit root tests are carried out allowing for multiple structural breaks in the long-run trend function of the variables. It is found that conclusions on neutrality are sensitive to the number and location of breaks. In order to interpret the evidence for structural breaks, we introduce a notion of deterministic monetary neutrality, which naturally arises in the absence of permanent stochastic shocks to the variables.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Papers ; No. 2008-04

Classification and Topics

• Classification: Wirtschaft ; Statistical Simulation Methods: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Money Supply; Credit; Money Multipliers ; Monetary Policy
• Subject: Deterministic and Stochastic Neutrality and Superneutrality of Money ; Unit Roots ; Structural Breaks ; Resampling Methods ; Neutralität des Geldes ; Unit Root Test ; Strukturbruch ; Welt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Noriega, Antonio E. ; Soria, Luis M. ; Velázquez, Ramón
• Event: Veröffentlichung
• (who): Banco de México
• (where): Ciudad de México
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/83709
• Last update: 10.03.2025, 11:45 AM CET