Monetary Impacts on Prices in the Short and Long Run: Some Evidence from New Zealand
利用新西兰数据，通过协整和误差修正模型证明长期货币中性，并发现货币冲击短期会提高农产品相对价格，长期则永久抬高名义价格。
Abstract This paper presents support for long‐run monetary neutrality based on evidence that individual time series for money, manufacturing prices, and agricultural prices are nonstationary but cointegrated, with a stationary proportional long‐run relationship among their levels. Dynamic simulations from a vector error‐correction model with this restriction imposed show that monetary shocks shift relative prices in favor of agriculture in the short run and permanently raise nominal prices. Manufacturing price shocks have similar long‐run effects but initially place agriculture in a cost‐price squeeze, while agricultural price shocks are transitory and have little impact on the other series.