Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective*
用贝叶斯方法研究货币与产出的因果关系，发现战后美国货币产出关系是非线性的，且货币对产出存在非线性格兰杰因果。
Abstract This article proposes a Bayesian approach to examining money‐output causality within the context of a logistic smooth transition vector error correction model. Our empirical results provide substantial evidence that the postwar US money‐output relationship is nonlinear, with regime changes mainly governed by the output growth and price levels. Furthermore, we obtain strong support for nonlinear Granger causality from money to output, although there is also some evidence for models indicating that money is not Granger causal or long‐run causal to output.