RT info:eu-repo/semantics/workingPaper
T1 Long-run neutrality of money and inflation in Spanish economy, 1830-1998
A1 Congregado, Emilio
A1 Esteve, Vicente
K1 Ináation
K1 Explosiveness
K1 Cointegration
K1 Multiple structural breaks
K1 Classical model of ináation
K1 Money demand
K1 Money growth
K1 Economía
K1 Economics
K1 Sociología
K1 Sociology
AB In this article, we test a classical model of ináation with rational expectations for the case of Spain during the period 1830ñ1998. The principaltestable implication is that money growth and ináation are cointegratedruling out speculative bubbles. First, to detect episodes of potential explosive behaviour in the Spanish ináation rate, we use the recursive unit roottests for explosiveness recently proposed by Phillips, Wu, and Yu (2011),and Phillips, Shi, and Yu (2015a,b). Second, we consider the possibility that a linear cointegrated regression model with multiple structuralchanges would provide a good empirical description of the classical modelof ináation for Spain over this long period. Our methodology is basedon the instability tests recently proposed in Kejriwal and Perron (2008,2010) as well as the cointegration tests developed in Arai and Kurozumi(2007) and Kejriwal (2008).
PB Universidad de Alcalá. Instituto Universitario de Análisis Económico y Social
SN 2172-7856
YR 2021
FD 2021-06
LK http://hdl.handle.net/10017/49287
UL http://hdl.handle.net/10017/49287
LA eng
NO 33 p.
DS MINDS@UW
RD 25-abr-2024