Patrick J. Coe
James M. Nason

long-run monetary neutrality and long-horizon regressions (replication data)

A prominent test of long-run monetary neutrality (LRMN) involves regressing long-horizon output growth on long-horizon money growth. We obtain limited support for LRMN with this test in long-annual Australian, Canadian, UK and US samples. Although empirical confidence intervals yield evidence in favour of LRMN, Monte Carlo experiments reveal the power of this test is near its size. Thus, this test is unlikely to detect important deviations from LRMN. These problems arise because the long-horizon regression test of LRMN relies on estimates of the covariance of long-horizon output growth and long-horizon money growth.

Data and Resources

Suggested Citation

Coe, Patrick J.; Nason, James M. (2004): Long-run monetary neutrality and long-horizon regressions (replication data). Version: 1. Journal of Applied Econometrics. Dataset.