Does Money Matter in Canada? Evidence from a Vector Error Correction Model
使用加拿大和美国的宏观经济时间序列数据，通过向量误差修正模型发现货币变量对加拿大实际产出有预测能力，支持货币在经济周期中的作用。
This paper investigates the statistical properties of a set of Canadian and U.S. economic time series and uses the data to address the question of the importance of monetary variables in Canadian business cycle fluctuations. The individual time series are found to contain unit roots, but the data reveal the existence of several economically meaningful cointegrating vectors. A multivariate vector error correction model is estimated, and Canadian velocity, which appears as an error correction term, is significant in the Canadian output equation. This supports the contention that monetary variables have predictive content for real output. Copyright 1989 by MIT Press.