Weighted monetary aggregation: a causality analysis
DOI:
https://doi.org/10.11606/1980-5330/ea145210Keywords:
monetary policy, Divisia index, cointegration, causalityAbstract
This paper investigates causality among money and the variables inflation rate and level of income in the period that spans from 1980 until the Real Plan edition, when Brazilian economy faced a great economic instability. It was used, as money concept, monetary aggregates weighted by the Divisia index as well as obtained by simple sum of assets. It was accomplished the causality test for cointegrated variables proposed by Engle and Granger (1987). The results indicate that the causality runs simultaneously from money, in its several definitions, to inflation and to level of income. This can be explained by the passivity that characterized the monetary policy during the period. In the relationship between money and price level, the statistically more significant result was observed in the causality prices-money and it was evidenced when money was widely defined.
Downloads
References
Bamett, W. A. Economic monetary aggregates: an application of index number and aggregation theory. Journal of Econometrics, v. 14, p. 11-48, 1980.
Bamett, W. A. The optimal level of monetary aggregation. Journal of Money, Credit and Banking, v. 14, n. 4, p. 687-710, nov. 1982.
Bamett, W. A. Recent monetary policy and the Divisia monetary aggregates. The American Statistician, v. 38, n. 3, p. 165-172, Aug. 1984.
Bamett, W. A.; Offenbacher, K. e Spindt, R A. The new Divisia monetary aggregates. Journal of Political Economy, v. 92, n. 61, p. 1049-1085, 1984.
Blanchard, O. J. Macroeconomics. 1st edition. Prentice Hall. 1996.
Brocklebank, J. C. e Dickey, D. A. SAS system forforecasting times series. North Caroline: SAS Institute Inc., 1986. 240p.
Cameiro, F. G. A metodologia dos testes de causalidade em economia. Brasilia: Editora da UnB. (Serie textos didáticos nº 20). 1997.
Diewert, W. E. Exact and superlative index numbers. Journal of Econometrics, v. 4, n. 2, p. 115- 45, May 1976.
Dickey, D. A. e Fuller W. A. Distribution of the estimators for autorregressive times series whith a unit root. Journal of the American Statistical Association, v. 74, p. 427-31. 1979.
Dickey, D. A. e Fuller W. A. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, v. 49, n. 4, p. 1057-72. 1981.
Divino, J. A. C. A. Agregação monetária ponderada pelo índice de Divisia: uma análise da demanda por moeda. Dissertação de mestrado: UnB. 1999. (não publ.).
Donavan, D. J. Modeling the demand for liquid assets: an application to Canada. IMF Staff Papers, v. 25, n. 4, p. 676-704, Dec. 1978.
Enders, W. Applied econometric time series. 1st edition. Iowa: John Wiley & Sons Inc., 1995.
Engle, R. F. e Granger, C. W. J. Co-integration and error correction: representation, estimation and testing. Econometrica, v. 55, p. 251-76. 1987.
Faria, J. R. e Cameiro, F. G. Does high inflation affect growth in the long and short run? Brasilia: Editora da UnB. (Serie textos para discussão nº 223). 1997.
Friedman, B. M. e Kuttner, K. N. Money, income, prices and interest rates. American Economic Review, v. 82, p. 472-92, 1992.
Friedman, B. M. e Kuttner, K. N. Another look at the evidence on money-income causality. Journal of Econometrics, v. 57,p. 189-203,1993.
Granger, C. W. J. Investigating causal relations by econometric models and cross-spectral models. Econometrica, v. 34, p. 541-51, 1969.
Granger, C. W. J. e Newbold, R. Spurius regression in econometrics. Journal of Econometrics, v. 2, p. 111-20,1974.
Greweke, J. The superneutrality of money in the United States: an interpretation of the evidence. Econometrica, v. 54, p. 1-22, 1986.
Gujarati, D. N. Basic econometrics. 3rd edition. Londres: McGraw-Hill, 1995.
Hamilton, J. D. Time series analysis. Princeton: University Press, 1994.
Learner, E. E. Vector auto-regressions for causal inference. In: Brunner, K. e Meltzer, A. (orgs.), Understanding monetary regimes. Journal of Monetary Economics, Supplement. 255-304, 1985.
Rossi, J. W. Agregação monetária com o índice de Divisia: aplicação ao caso brasileiro. Pesquisa e Planejamento Econômico, Rio de Janeiro, v. 23, n. 2, p. 251-73, ago. 1993.
Rossi, J. W. e Silva, M. da C. Índices ponderados de agregados monetários para o Brasil. Rio de Janeiro: IPEA (Texto para discussão n. 210), p. 1-35, fev. 1991a.
Rossi, J. W. e Silva, M. da C. A liquidez revisitada. In: Perspectivas da economia brasileira 1992. Rio de Janeiro: IPEA. Cap.3, p. 41-58, 1991b.
Rossi, J. W. e Silva, M. da C. Índices ponderados de agregados monetários para o Brasil. Pesquisa e Planejamento Econômico, Rio de Janeiro, v. 21, n. 3, p. 511-32, dez. 1991c.
Simonsen, M. H. e Cysne, R. R Macroeconomia. 2a ed. Rio de Janeiro: Atlas, 1995.
Sims, C. A. Money, income and causality. American Economic Review, v. 62, p. 540-62, 1972.
Stock, J. H. e Watson, M. W. Interpreting the evidence on money-income causality. Journal of Econometrics, v. 40, p. 161-81, 1989.
Triches, D. Demanda por moeda no Brasil e a causalidade entre as variáveis monetárias e a taxa de inflação: 1972/87 Rio de Janeiro: Editora do BNDES, 1992.
Downloads
Published
Issue
Section
License
Copyright (c) 2000 Economia Aplicada
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
