Do Money, Prices, Incomes and Interest Rates Interrelate in the U.S.? A Fractional Cointegrated VAR Approach
The Empirical Economics Letters, 12(8): (August 2013) ISSN 1681 8997
Posted: 23 Oct 2013
Date Written: August 22, 2013
Abstract
The paper addresses the empirical application of cointegration analysis to four important macroeconomic variables: narrow money (M1), incomes, prices and interest rates in the U.S. during the turmoil period of last decade. Unit root and longmemory tests support the appropriateness of the Fractionally Cointegrated VAR model to take account the long-memory behaviour. Results conclude that a long-run relationship between these macroeconomic variables exists. This suggests a sufficiently stable monetary policy taken by U.S. government and the FED.
Keywords: Fractional Cointegrated VAR; Monetary Policy; Financial Crises; U.S. Analysis
JEL Classification: C5, E1, E4
Suggested Citation: Suggested Citation