International Evidence on the Neutrality of Money

Abstract

The authors use the Backus and Kehoe (1992) long, low frequency data on real GNP/GDP and money for Australia, Canada, Denmark, Germany, Italy, Japan, Norway, Sweden, the United Kingdom, and the United States to examine the long-run neutrality and superneutrality of money propositions. In doing so, they applied the King and Watson (1992) methodology, paying particular attention to the integration and cointegration properties of the variables, since meaningful neutrality tests critically depend on such properties.