Breaking trends and the money-output correlation

• 主要作者: FERNANDEZ, David
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 1997
• 主題: Finance; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/6895; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7894/viewcontent/003465397557097.pdf
• 機構: Singapore Management University

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.