Breaking trends and the money-output correlation

Article Abstract:

Univariate specification of US output has a limited effect on the money-output correlation, although pretesting indicates that industrial production is considered a broken-trend stationary. The unit-root null hypothesis for real output in favor of a broken-trend stationary alternative was rejected by using a technique introduced by Perron. The results indicated that a prudent analysis of various macroeconomic time series and the interactions between them should permit regime change in the deterministic trend function of each series.

Economics, Research and Development in the Social Sciences and Humanities, Analysis, Money supply

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On cointegration and tests of forward market unbiasedness

Article Abstract:

A study was conducted to analzye forward market unbiasedness. The study applies univariate and multivariate tests of the unbiasedness hypothesis in such market's efficiency studies. It is shown that inference level studies generate better asymptotic efficiency in measurement and eliminates correlation problems compared to the use of differenced data. The technique allows for the derivation of time series properties of market risk premium.

Capital market, Capital markets

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The effects of inside and outside money on industrial production across spectral frequency bands

Article Abstract:

A study was conducted to analyze money-income causality by applying band spectral filtering techniques. Results show that low frequency movements involving outside money affect the relationship between money and industrial productivity. The results support models which describe unexpected monetary changes as catalysts for real economic activity. In addition, strong feedback from income to outside money is suggested.

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