چکیده:
This article uses seasonal integration and cointegration
techniques to test the hypothesis of neutrality of money, using
data from the Iranian economy. Seasonal data for the three
variables of money supply, output and prices show that (increase
in) money supply and the price level are cointegrated at zero
frequency, but one does not see such a relationship between
(increase in) money supply and output. These results imply that
in the long run changes in money supply only influence nominal
variables not real ones. We can thus say that in the long run,
money is (super) neutral
خلاصه ماشینی:
Testing the long run neutrality of money based on the seasonal cointegration theory: The case of Iran By: Hamid Abrishami, Ph. D.
• ABSTRACT This article uses seasonal integration and cointegration techniques to test the hypothesis of neutrality of money, using data from the Iranian economy.
3. Econometric Methodology In this article we use seasonal cointegration to test for the relationship between money supply and real output and the price level.
Since zero frequency indicates a long run relationship among the model's variables, in case money is neutral money supply should not be cointegrated with real output at zero frequency.
4. Data and Empirical Results The empirical tests of the this article are based on 112 quarterly observations over the period 1350 (1) to 1377 ( 4) for the three variables of money supply (m), output (y) and price level (p).
The non of cointegration at zero frequency between money supply and output indicates lack of a long run relationship between the given variables, i.
5. Conclusion This study offers some evidence in support of super neutrality of money in Iran the empirical results have been extracted from tests of seasonal cointegration between money supply on the one hand and output and prices on the other hand.
The cointegration test results show that (growth of) money supply and output at zero frequency (which represent the long run) are not cointegrated.