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Seasonal Cointegration and Long‐Run Neutrality of Money in the USA
Author(s) -
Hasan Mohammad S.
Publication year - 2011
Publication title -
economic notes
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.274
H-Index - 19
eISSN - 1468-0300
pISSN - 0391-5026
DOI - 10.1111/j.1468-0300.2011.00235.x
Subject(s) - cointegration , economics , monetarism , neutrality , econometrics , moneyness , monetary economics , price level , monetary policy , keynesian economics , macroeconomics , philosophy , epistemology
Using the notion of seasonal cointegration and a monetarist model, this paper re‐examines the long‐run monetary neutrality hypothesis, based on the seasonally unadjusted quarterly data of the US over the period 1959Q1–2004Q4. The results indicate that money is cointegrated with price at all possible frequencies while real output is cointegrated with price only at an annual frequency. The cointegration between money and price at the zero frequency, and non‐cointegration between real output and money at all possible frequencies, suggests that money affects nominal but not real variables in the long run.