Econometric Models of Relationship among Money, Output and Prices

Das, Rituparna (2010): Econometric Models of Relationship among Money, Output and Prices.

Abstract

This paper discusses the econometric models and tools like Granger causality and VAR discussed in ascertaining the relationship between money, output and prices. It found that Jha et al (2002) and Ahmed (2003) employed a VAR model accompanied by ECM and Johansen-Juselius procedure; others like Rangarajan et al (1990) employed simulation models containing regressions equations of variety of forms simple linear function and double logarithmic function, and also autoregressive equations of first order (AR1) and only Ray et al (1988) employed filters for prewhitening purpose i.e. making a nonstationary series stationary. The filter technique did not seem to be popular. Even Jha et al (2002) employed ADF test in order to detect the level of integration of the series and accordingly took measures to ensure stationarity.

• Item Type: MPRA Paper
• Language: English
• Keywords: Granger; causality; Sims; vector autoregression; multiplier
• Subjects: E - Macroeconomics and Monetary Economics > E0 - General; B - History of Economic Thought, Methodology, and Heterodox Approaches > B2 - History of Economic Thought since 1925 > B23 - Econometrics ; Quantitative and Mathematical Studies

References

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