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International Evidence on Monetary Neutrality
Under Broken Trend Stationary Models
Antonio E. Noriega1
Luis M. Soria
Ramón Velazquez
Department of Econometrics, Escuela de Economia,
Universidad de Guanajuato.
JEL Classification: C12, C13, C15, C32, E51, E52
Keywords: Neutrality and Superneutrality of Money, Sequential Unit Root
Testing, Structural Breaks, Resampling Methods
Abstract
We analyze the issue of the impact of multiple breaks on monetary neutrality
results, using a long annual international data set. We empirically verify whether
neutrality propositions remain addressable (and if so, whether they hold or not),
when unit root tests are carried out allowing for multiple structural breaks in
the long-run trend function of the variables. It is found that conclusions on
neutrality are sensitive to the number of breaks allowed. In order to interpret
the evidence for structural breaks, we utilize a notion of deterministic monetary
neutrality, which naturally arises in the absence of permanent stochastic shocks
to the variables. We utilize a resampling procedure to discriminate between
DS and TS models with multiple breaks, based on the fact that changes in the
trend function bias unit root tests towards a non-rejection, and a dynamic pro-
gramming algorithm for locating breaks. We present evidence on the inability to
reject plausible broken-trend stationary models that exhibit transitory dynamics
around a long-run deterministic trend subject to infrequent structural breaks.
This leads to interesting questions about the testing for monetary neutrality.
1 Corresponding author. Department of Econometrics, Escuela de Economia, Universidad
de Guan
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