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Monetary Policy, Output and Prices- Peláezs Contributions and a Sequential Multiple-horizon Non-causation Test for the period 1861-1970

Author

Listed:
  • Erik Alencar de Figueiredo
  • Claudio Shikida
  • Ari Francisco Araújo Jr
Abstract
This paper aims to examine if the use of modern protocol for time series data analysis corroborates the results found previously in the literature. Speci cally, we inspect the non structuralists arguments developed in the 1970s about monetary policy e ects. The contributions of this paper are-(a) to review the non-structuralist arguments made by Carlos Manuel Pelaez and Wilson Suzigan and in Pelaez's later works and (b) to test the causality between money, output, and prices, as well as the authors central argument on the importance of monetary policy, using the sequential multiple-horizon non-causation test developed by Hill (2007). Pelaez and Suzigan's original results are corroborated, since monetary policy (measured by monetary base) has an eff ect on nominal rather than on real output.

Suggested Citation

  • Erik Alencar de Figueiredo & Claudio Shikida & Ari Francisco Araújo Jr, 2013. "Monetary Policy, Output and Prices- Peláezs Contributions and a Sequential Multiple-horizon Non-causation Test for the period 1861-1970," Série Textos para Discussão (Working Papers) 20, Programa de Pós-Graduação em Economia - PPGE, Universidade Federal da Paraíba.
    • Handle: RePEc:ppg:ppgewp:20
    as

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    File URL: http://www.ccsa.ufpb.br/ppge/arquivos/ensaios/td20.pdf
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    References listed on IDEAS

    as
    1. Jonathan B. Hill, 2007. "Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 747-765.
    2. Barbosa, Fernando de Holanda, 1989. "A controvérsia monetarista no hemisfério norte," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 146, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    3. Milton Friedman & Anna J. Schwartz, 1963. "A Monetary History of the United States, 1867–1960," NBER Books, National Bureau of Economic Research, Inc, number frie63-1.
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