Publication:
Empirical identification of the vector autoregression: the causes and effects of us M2

dc.contributor.coauthorHoover, Kevin D.
dc.contributor.coauthorPerez, Stephen J.
dc.contributor.departmentDepartment of Economics
dc.contributor.kuauthorDemiralp, Selva
dc.contributor.kuprofileFaculty Member
dc.contributor.yokid42533
dc.date.accessioned2024-11-10T00:08:14Z
dc.date.issued2009
dc.description.abstractThe M2 monetary aggregate is monitored by the Federal Reserve, using a broad brush theoretical analysis and an informal empirical analysis. This chapter illustrates empirical identification of an eleven-variable system, in which M2 and the factors that the Fed regards as causes and effects are captured in a vector autoregression. Taking account of cointegration, the methodology combines recent developments in graph-theoretical causal search algorithms with a general-to-specific search algorithm to identify a fully specified structural vector autoregression (SVAR). The SVAR is used to examine the causes and effects of M2 in a variety of ways. The chapter concludes that while the Fed has rightly identified a number of special factors that influence M2 and while M2 detectably affects other important variables, there is 1) little support for the core quantity-theoretic approach to M2 used by the Fed; and 2) M2 is a trivial linkage in the transmission mechanism from monetary policy to real output and inflation.
dc.description.indexedbyScopus
dc.description.openaccessYES
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuN/A
dc.identifier.doi10.1093/acprof:oso/9780199237197.003.0002
dc.identifier.isbn9780-1917-1731-4
dc.identifier.isbn9780-1992-3719-7
dc.identifier.linkhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84919696094anddoi=10.1093%2facprof%3aoso%2f9780199237197.003.0002andpartnerID=40andmd5=25b29236da8d7294b3c813ca840a1c6c
dc.identifier.quartileN/A
dc.identifier.scopus2-s2.0-84919696094
dc.identifier.urihttp://dx.doi.org/10.1093/acprof:oso/9780199237197.003.0002
dc.identifier.urihttps://hdl.handle.net/20.500.14288/16922
dc.keywordsAutometrics
dc.keywordsCausal analysis
dc.keywordsCausality
dc.keywordsGraph theory
dc.keywordsM2
dc.keywordsMonetary aggregates
dc.keywordsMonetary policy
dc.keywordsPcGets
dc.keywordsQuantity theory of money
dc.keywordsSearch algorithms
dc.languageEnglish
dc.publisherOxford University Press
dc.sourceThe Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry
dc.subjectEconomics
dc.titleEmpirical identification of the vector autoregression: the causes and effects of us M2
dc.typeBook Chapter
dspace.entity.typePublication
local.contributor.authorid0000-0003-4087-168X
local.contributor.kuauthorDemiralp, Selva
local.publication.orgunit1College of Administrative Sciences and Economics
local.publication.orgunit2Department of Economics
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relation.isOrgUnitOfPublication.latestForDiscovery7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3

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