The name is absent



We conclude 3 cointegration vectors at 5% level of significance. The normalised
cointegration vectors are presented in table 6.

Table 6. Normalized cointegrating coefficients

lnPPI

lnIPI

InXREURO

lnM1A

TREND

1.000000

0.000000

0.000000

0.100722

0.000237

(0.40240)a

(0.00539)

0.000000

1.000000

0.000000

0.432500

-0.003577

(0.12665)

(0.00170)

0.000000

0.000000

1.000000

-0.648281

0.008627

(0.12772)

(0.00171)

a standard errors in parentheses

The money slope coefficients are rather surprisingly negative for the industrial and
agricultural prices and positive for the exchange rate equation, not being statistically
significant in the agricultural price equation. The linear trend is significant in the industrial
prices and exchange rate equations, but not in the agricultural prices equation.

The money neutrality hypothesis expects the coefficients associated with the money supply
(lnM1A) to be close to one (i.e. the long run increase in the agricultural, industrial and
services prices to be unit proportional with the increase in the money supply). The lnM1A
coefficients with respect to the prices are 0.100, 0.432, -0.648, not supporting the money
neutrality hypothesis.

4.3. VECM model

Because the variables proved to be cointegrated, a Vector Error Correction Model is
appropriate to simultaneously depict the long and short run evolution of the system. The
residuals of the long run cointegrating equations are used to construct the VECM in table 7.

12



More intriguing information

1. THE AUTONOMOUS SYSTEMS LABORATORY
2. The name is absent
3. Impact of Ethanol Production on U.S. and Regional Gasoline Prices and On the Profitability of U.S. Oil Refinery Industry
4. Notes on an Endogenous Growth Model with two Capital Stocks II: The Stochastic Case
5. Licensing Schemes in Endogenous Entry
6. The name is absent
7. Literary criticism as such can perhaps be called the art of rereading.
8. Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model
9. IMPLICATIONS OF CHANGING AID PROGRAMS TO U.S. AGRICULTURE
10. The name is absent