Bivariate and multivariate tests of money-price causality: Robust evidence from a small developing country

Journal of International Development

Volumn 9, Issue 6, 1997, Pages 803-825

  Masih, Abul M M ^a   Masih, Rumi ^b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

INFLATION; MONEY SUPPLY;

PAKISTAN;

EID: 0031448584     PISSN: 09541748     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-1328(199709)9:6<803::AID-JID407>3.0.CO;2-H     Document Type: Article

References (54)

1. Aghevli, B. and Khan, M., (1978). 'Government deficits and the inflationary process in developing countries', IMF Staff Papers, September, 383-416.
2. Ambler, S. (1989). 'Does money matter in Canada? Evidence from a vector error correction model', Review of Economics and Statistics, 69, 651-658.
3. Asian Development Bank, Asian Development Outlook, various issues.
4. Backus, D. (1986). 'The Canadian-U.S. exchange rate: evidence from a vector autoregression', Review of Economics and Statistics, 68, 628-637.
5. Bahmani-Oskooee, M. and Alse, J. (1993). 'Export growth and economic growth: an application of cointegration and error-correction modelling', Journal of Developing Areas, 27, 535-542.
6. Bhalla, S. (1981). 'The transmission of inflation into developing countries'. In Kline, W. (ed.) World Inflation and the Developing Countries. Washington: Brookings Institution.
7. Cooley, T. and Leroy S. (1985). 'Atheoretical macroeconometrics: a critique', Journal of Monetary Economics, 16, 283-308.
8. Darat, A., (1986). 'Money, inflation and causality in the North African countries: an empirical investigation', Journal of Macroeconomics, 8, Winter.
9. Dickey, D. and Fuller, W. (1981). 'Likelihood ratio statistics for autoregressive time series with a unit root', Econometrica, 49, 1057-1072.
10. Dolado, J., Jenkinson, T. and Sosvilla-Rivero, S., (1990). 'Cointegration and unit roots', Journal of Economic Surveys, 4, 249-273.
11. Engle, R. and Granger, C. W. J. (1987). 'Cointegration and error correction: representation, estimation and testing', Econometrica, 55, 251-276.
12. Fuller, W. A., (1976). Introduction to Statistical Time Series. New York: Wiley.
13. Gan, W. B. (1988). 'Monetary policy and nominal interest rate in a developing country: the case of Malaysia', Singapore Economic Review, April, 21-39.
14. Geweke, J., Meese, R. and Dent W. (1983). 'Comparing alternative rests of causality in temporal systems: analytic results and experimental evidence', Journal of Econometrics, 21, 161-194.
15. Ghatak, S., and Deadman, D., (1989). 'Money, prices, and stablization policies in some developing countries', Applied Economics, 21, 853-865.
16. Gordon, R. and King, S. (1982). 'The output cost of disinflation in traditional and vector autoregressive models', Brookings Papers on Economics Activity, 1, 205-242.
17. Granger, C. W. J. (1969). 'Investigating causal relations by econometric models and cross spectral methods', Econometrica, 37, 424-438.
18. Granger, C. W. J. (1986). 'Developments in the study of cointegrated economic variables', Oxford Bulletin of Economics and Statistics, 48, 213-228.
19. Granger, C. W. J. (1988). 'Some recent developments in a concept of causality', Journal of Econometrics, 39, 199-211.
20. International Monetary Fund. International Financial Statistics, various issues.
21. Johansen, S. (1988). 'Statistical analysis of cointegration vectors', Journal of Economic Dynamics and Control, 12, 231-254.
22. Johansen, S. and K. Juselius (1990). 'Maximum likelihood estimation and inference on cointegration with applications to money demand', Oxford Bulletin of Economics and Statistics, 52, 169-210.
23. Jones, J. and Khilji, N. (1988). 'Money growth, inflation and causality: empirical evidence for Pakistan', Pakistan Development Review, 27, 45-58.
24. Jones, J. and Sattar, Z., (1987). 'Output and inflationary consequences of money growth; a granger causality test for Bangladesh', Economic Bulletin for Asia and the Pacific, 38, 65-72.
25. Kamas, L. and J. Joyce (1993). 'Money, income, and prices under fixed exchange rates: evidence from causality tests and VARs', Journal of Macroeconomics, 15, 747-768.
26. Kang, M.H. (1987). 'Money, income, and causality: Korea and Japan', International Economic Journal, 1, 57-70.
27. Karatzas, G. (1981). 'Inflationary forces in fifty-four countries in the past decade: an analysis', Economia Internazionale, 34, 322-355.
28. Karras, G. (1994). 'Sources of business cycles in Europe: 1960-1988. Evidence from France, Germany and the United Kingdom', European Economic Review, 38, 1763-1778.
29. King, R. G., C. I. Plosser, J. H. Stock and M. W. Watson (1991). 'Stochastic trends and economic fluctuations', American Economic Review, 81(Sept.) 819-840.
30. Kirkpatrick, C., and Nixon, F., (1987). 'Inflation and stabilization policy in LDC's. In Gemmell, N. (ed.). Surveys in Development Economics. Oxford, Blackwell.
31. Krol, R. and L. Ohanian (1990). 'The impact of stochastic and deterministic trends on money-output causality', Journal of Econometrics, 45, 291-308.
32. Lutkepohl, H. (1991). 'Introduction to multivariate time series analysis'. Berlin: Springer-Verlag.
33. Lutkepohl, H. and H.-E. Reimers (1992). 'Impulse response analysis of cointegrated systems', Journal of Economic Dynamics and Control, 16, 53-78.
34. Masih, A.M.M. and Masih, R. (1994). 'Temporal causality between money and prices and the error-correction approach in the developing countries: new evidence from India', Indian Economic Review, 29(1), 33-55.
35. McMillin, W.D. (1988). 'Money growth volatility and the macroeconomy', Journal of Money, Credit and Banking, 20, 319-335.
36. Miller, S. (1991). 'Monetary dynamics: an application of cointegration and error-correction modelling', Journal of Money, Credit, and Banking, 23, 139-154.
37. Miller, S. and F. Russek (1990). 'Cointegration and error-correction models: the temporal causality between government taxes and spending', Southern Economic Journal, 57, 221-229.
38. Nachane, D. and Nadkarni, R. (1985). 'Empirical testing of certain monetarist propositions via causality theory', Indian Economic Journal, 33, 13-41.
39. Osterwald-Lenum, M. (1992). 'A note with quantiles of the asymptotic distribution of the maximum likelihood of cointegration rank statistics', Oxford Bulletin of Economics and Statistics, 54, 461-471.
40. Parikh, A, and Starmer, C. (1988). 'The relationship between the money supply and prices in Bangladesh', Bangladesh Development Studies, 16, 59-70.
41. Ramachandra, V., (1983). 'Direction of causality between monetary and real variables in India', Indian Economic Journal, July-September, 65-74.
42. Robertson, J. and D. Orden (1990). 'Monetary impacts on prices in the short and long run: some evidence from New Zealand', American Journal of Agricultural Economics, 72, 160-171.
43. Rogers, J. H. and P. Wang (1993). 'Sources of fluctuations in relative prices: evidence from high inflation countries', Review of Economics and Statistics, 75(4). 589-605.
44. Runkle, D. E. (1987). 'Vector autoregression and reality', Journal of Business and Economic Statistics, 5, 437-454.
45. Saini, K., (1982). 'The monetarist explanation of inflation. The Experience of six Asian countries', World Development, 10, 871-884.
46. Sharma, R. (1984). 'Causality between money and price level in India', Indian Economic Review, 19(2). 213-221.
47. Siddiqui, A., (1990). 'Money and inflation in Pakistan: some tests', Indian Economic Journal, 38, 41-57.
48. Sims, C., (1972). 'Money, income, and causality', American Economic Review, 62, 540-552.
49. State Bank of Pakistan. Annual Reports, various issues.
50. Stock, J. H. and M. W. Watson (1989). 'Interpreting the Evidence on Money-Income Causality', Journal of Econometrics, 40, 161-181.
51. Toda, H. and P. C. B. Phillips (1993). 'Vector autoregressions and causality, Econometrica', 61(6). 1367-1393.
52. Wachter, S., (1976). 'Latin American Inflation: The Structuralist-Monetarist Debate'. Lexington, Lexington Books.
53. Wang, P., C. K. Yip and C. A. Scotese (1994). 'Fertility choice and economic growth: theory and evidence', Review of Economics and Statistics, 76(2), 255-266.
54. Zellner, A. (1988). 'Causality and causal laws in economics', Journal of Econometrics, 39, 7-21.