Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy

DOI10.1080/07474938.2014.945386zbMath1491.62174OpenAlexW3121569295MaRDI QIDQ5080534

Marcelle Chauvet, Richard G. Anderson, Barry E. Jones

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://research.stlouisfed.org/wp/2013/2013-018.pdf

zbMATH Keywords

Markov switchingpricesincomeunobserved componentsturning-point analysisDivisia monetary aggregatespermanent componenttransitory component

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items

Are the responses of the U.S. economy asymmetric to positive and negative money supply shocks?

Cites Work

• The Barnett critique after three decades: a New Keynesian analysis
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• VELOCITY AND THE VARIABILITY OF MONEY GROWTH: EVIDENCE FROM A VARMA, GARCH-M MODEL
• MEASUREMENT ERROR IN MONETARY AGGREGATES: A MARKOV SWITCHING FACTOR APPROACH
• Testing for Common Trends
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Estimating and Testing Linear Models with Multiple Structural Changes
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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