NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Interpreting Evidence on Money-Income Causality

James H. Stock, Mark W. Watson

NBER Working Paper No. 2228
Issued in April 1987
NBER Program(s):   ME

Previous authors have reached puzzlingly different conclusions about the usefulness of money for forecasting real output based on closely related regression-based tests. An examination of this and additional new evidence reveals that innovations in M1 have statistically significant marginal predictive value for industrial production, both in a bivariate model and in a multivariate setting including a price index and an interest rate. This conclusion follows from focusing on the trend properties of the data, both stochastic and deterministic, and from drawing inferences using asymptotic theory that explicitly addresses the implications of these trends for the distributions of the various test statistics.

download in pdf format
   (254 K)

download in djvu format
   (187 K)

email paper

This paper is available as PDF (254 K) or DjVu (187 K) (Download viewer) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w2228

Published: Journal of Econometrics, Vol. 40, No. 1, pp. 161-182, January 1989.

Users who downloaded this paper also downloaded these:
Friedman and Kuttner w3856 Another Look at the Evidence on Money-Income Causality
Bernanke w1842 Alternative Explanations of the Money-Income Correlation
Taylor A Historical Analysis of Monetary Policy Rules
Shapiro and Slemrod w9308 Did the 2001 Tax Rebate Stimulate Spending? Evidence from Taxpayer Surveys
Rodrik w4964 Getting Interventions Right: How South Korea and Taiwan Grew Rich
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us