New Tests of Long-Run Monetary Neutrality and Homogeneity
2003/03/14
研討會日期 : 2003-03-14
時間 : 15:00
主講人 : Prof. Mau-Ting Lin
地點 : B棟110室
演講者簡介 : Mr. Mau-Ting Lin為Ph.D. in Economics， Boston University (May 2003 expected)。
其主要研究領域為Macroeconomics、International Finance及Mathematical Finance
演講摘要 : Previous tests of long-run propositions concerning monetary neutrality and homogeneity have a serious drawback: their results are heavily dependent on auxiliary assumptions, including identification restrictions and the correct selection of macroeconomic variables to be included in the empirical work. Thus, a test result indicating rejection of long-run neutrality or homogeneity can signal either that the theory is incorrect or that the auxiliary assumptions are wrong. This paper develops a new approach to test long-run neutrality and homogeneity. My approach does not require traditional identifying assumptions and does not require that the researcher knows all of the relevant macroeconomic variables. To derive my test, I show that the long-run propositions can be represented as linear restrictions on the space of cointegrating vectors. Long-run neutrality and homogeneity can therefore be tested via likelihood ratio tests of linear restrictions on cointegrating vectors. In an application to U.S. series on output, interest rates, prices and money, the method is applied to annual series over 1940 - 1975 and to quarterly series over 1959.1-2002.2. The test results do not reject long-run neutrality for either data set, but reject long-run homogeneity for pre-Volcker quarterly data.
