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A bootstrap-corrected causality test: another look at the money–income relationship
University of Skövde, School of Technology and Society.
Department of Economics, University of Örebro, Örebro SE-701 82, Sweden / Department of Accounting, Finance and Economics, Griffith University, Brisbane, QLD, Australia.
2006 (English)In: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 31, no 1, 207-216 p.Article in journal (Refereed) Published
Abstract [en]

Previous studies of the causal relationship between money supply and real output are based on asymptotic distributions. If the assumption of normality is not fulfilled and if ARCH effects are present, asymptotic distributions perform inaccurately. In this paper, we reinvestigate the potential causal relationship between money and output by applying an alternative methodology based on the leveraged bootstrapped simulation techniques using data from Denmark, Japan, Sweden, and the US. We find unidirectional causality from money to output for the sample countries except for Sweden for which causality is bi-directional. This finding of unidirectional causality between money and output supports monetary business-cycle models and reveals one important policy implication—that is, in looking for the sources of output fluctuations, money might be a major factor.

Place, publisher, year, edition, pages
Springer, 2006. Vol. 31, no 1, 207-216 p.
National Category
Social Sciences
Research subject
Humanities and Social sciences
Identifiers
URN: urn:nbn:se:his:diva-1837DOI: 10.1007/s00181-005-0038-1ISI: 000236642500013Scopus ID: 2-s2.0-33645523110OAI: oai:DiVA.org:his-1837DiVA: diva2:32113
Available from: 2007-09-07 Created: 2007-09-07 Last updated: 2013-04-10Bibliographically approved

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CiteExportLink to record
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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf