Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83709
Authors: 
Noriega, Antonio E.
Soria, Luis M.
Velázquez, Ramón
Year of Publication: 
2008
Series/Report no.: 
Working Papers, Banco de México 2008-04
Abstract: 
We analyze the issue of the impact of multiple breaks on monetary neutrality results, using a long annual international data set. We empirically verify whether neutrality propositions remain addressable (and if so, whether they hold or not), when unit root tests are carried out allowing for multiple structural breaks in the long-run trend function of the variables. It is found that conclusions on neutrality are sensitive to the number and location of breaks. In order to interpret the evidence for structural breaks, we introduce a notion of deterministic monetary neutrality, which naturally arises in the absence of permanent stochastic shocks to the variables.
Subjects: 
Deterministic and Stochastic Neutrality and Superneutrality of Money
Unit Roots
Structural Breaks
Resampling Methods
JEL: 
C15
C32
E51
E52
Document Type: 
Working Paper
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