Mogaji, Peter Kehinde (2018): ARDL Bounds Tests for Neutrality and Superneutrality of Money towards Monetary Integration of West Africa.
Preview |
PDF
MPRA_paper_98741.pdf Download (1MB) | Preview |
Abstract
Money neutrality is about what the long run relationship between money and price imply for the use of monetary aggregates in the conduct of monetary policy. The argument is that if a single monetary policy is prevalent in a monetary union, it is significant that members of such monetary integration should exhibit similarities in behaviour of money. The West African subcontinent (proposing monetary integration) deserves feasibility assessments in aspects of neutrality and superneutrality of money. This study, which is significant for the proposed monetary integration of the West Africa, provided answers to the question on if money matters within the proposed monetary union. The autoregressive distributed lag (ARDL) bound testing cointegration approach developed by Pesaran et al (2001) was employed to test money neutrality and money superneutrality in this research work. This cointegration method is no common in the investigation of neutrality and superneutrality of money. Relevant annual data (real output, quasi-money, inflation) collected for the six WAMZ countries (The Gambia, Ghana, Guinea, Nigeria, Liberia and Sierra Leone) for the purpose of this study span over the period between 1980 and 2014. Finding and results generated in this study produced evidence to suggest that money is not neutral in four of the six (except for Liberia and Guinea) WAMZ countries. The superneutrality tests (and other sensitivity tests) however reveal more uniform non-superneutrality of money across the WAMZ (apart from the inconclusiveness of the tests in the cases Liberia and Guinea when real exchange rate change was applied; as a well as the non-superneutrality of Liberia when real output growth served in the determination of money super neutrality).
Item Type: | MPRA Paper |
---|---|
Original Title: | ARDL Bounds Tests for Neutrality and Superneutrality of Money towards Monetary Integration of West Africa |
English Title: | ARDL Bounds Tests for Neutrality and Superneutrality of Money towards Monetary Integration of West Africa |
Language: | English |
Keywords: | Money Neutrality, Superneutrality of Money, ARDL, WAMZ |
Subjects: | E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E12 - Keynes ; Keynesian ; Post-Keynesian E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E13 - Neoclassical E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit F - International Economics > F3 - International Finance F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F45 - Macroeconomic Issues of Monetary Unions |
Item ID: | 98741 |
Depositing User: | Dr Peter Kehinde Mogaji |
Date Deposited: | 22 Feb 2020 21:06 |
Last Modified: | 22 Feb 2020 21:06 |
References: | Boyer, R.S. (2009) “Reflections on Milton Friedman’s Contributions to Open Economy Money/Macro”, Journal of Internal Money and Finance pp.1097-1116. Christiano, L. J., Roberto M., and Massimo R. (2003). “The Great Depression and the Friedman-Schwartz Hypothesis,” Journal of Money, Credit and Banking, 35 (6, pt. 2): 1119-1198. Friedman, M. (1963). ‘Inflation Causes and Consequences’ Bombay: Asian Publishing House. Friedman, M. (1968). “The Role of Monetary Policy,” American Economic Review, 58: 1-17. Goodfriend, M. (2007). "How the World Achieved Consensus on Monetary Policy," Journal of Economic Perspectives, American Economic Association, 21(4): 47-68. Goodhart, C.A.E. (2007). “Whatever Became of the Monetary Aggregates?” National Institute Economic Review, 200: 56-61 (2007). Gujarati, D. N. and Porter, D.C. (2010). ‘Essentials of Econometrics’. New York: McGraw Hill. Hill, R.C., Griffiths, W.E. and G. C. Lim (2008). ‘Principles of Econometrics.” New Jersey: John Wiley & Sons. Lucas, R.E. (1996). “Nobel Lecture: Monetary Neutrality.” Journal of Political Economy, 104: 661-682. Narayan, P. K. (2005). “The saving and investment nexus for China: Evidence from Cointegration Tests”. Applied Economics, 37:1979-1990. Nelson, E. (2003). “The Future of Monetary Aggregates in Monetary Policy Analysis.” Journal of Monetary Economics, 50: 1029-59. Pesaran, M. H., Shin, Y. and Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships, Journal of Applied Econometrics, 16: 289-326. Reynard, S. (2006). “Maintaining Low Inflation: Money, Interest Rates, and Policy Stance.” Working Paper, Swiss National Bank, October. Woodford, M. (2008). "How Important Is Money in the Conduct of Monetary Policy?” Journal of Money, Credit and Banking, Blackwell Publishing, 40(8): 1561-1598. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/98741 |