Breaking trends and the money-output correlation

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,...

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Main Author: FERNANDEZ, David
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1997
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6895
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7894/viewcontent/003465397557097.pdf
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Institution: Singapore Management University
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spelling sg-smu-ink.lkcsb_research-78942022-03-18T01:02:30Z Breaking trends and the money-output correlation FERNANDEZ, David 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. 1997-11-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/6895 info:doi/10.1162/003465397557097 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7894/viewcontent/003465397557097.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Finance Finance and Financial Management
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Finance
Finance and Financial Management
spellingShingle Finance
Finance and Financial Management
FERNANDEZ, David
Breaking trends and the money-output correlation
description 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.
format text
author FERNANDEZ, David
author_facet FERNANDEZ, David
author_sort FERNANDEZ, David
title Breaking trends and the money-output correlation
title_short Breaking trends and the money-output correlation
title_full Breaking trends and the money-output correlation
title_fullStr Breaking trends and the money-output correlation
title_full_unstemmed Breaking trends and the money-output correlation
title_sort breaking trends and the money-output correlation
publisher Institutional Knowledge at Singapore Management University
publishDate 1997
url https://ink.library.smu.edu.sg/lkcsb_research/6895
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7894/viewcontent/003465397557097.pdf
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