Journal Archive

Home > Journal Archive
Cover Image
  • P-ISSN 1738-656X
Cite

한국개발연구. Vol. 13, No. 4, December 1991, pp. 117-140

https://doi.org/10.23895/kdijep.1991.13.4.117

× KDI Open Access is a program of fully open access journals to facilitate the widest possible dissemination of high-quality research. All research articles published in KDI JEP are immediately, permanently and freely available online for everyone to read, download and share in terms of the Creative Commons Attribution 4.0 International License.

A Test for Nonlinear Causality and Its Application to Money, Production and Prices (Written in Korean)

백웅기

Author & Article History

Manuscript .

Abstract

The purpose of this paper is primarily to introduce a nonparametric statistical tool developed by Baek and Brock to detect a unidirectional causal ordering between two economic variables and apply it to interesting macroeconomic relationships among money, production and prices. It can be applied to any other causal structure, for instance, defense spending and economic performance, stock market index and market interest rates etc. A key building block of the test for nonlinear Granger causality used in this paper is the correlation. The main emphasis is put on nonlinear causal structure rather than a linear one because the conventional F-test provides high power against the linear causal relationship. Based on asymptotic normality of our test statistic, the nonlinear causality test is finally derived. Size of the test is reported for some parameters. When it is applied to a money, production and prices model, some evidences of nonlinear causality are found by the corrected size of the test. For instance, nonlinear causal relationships between production and prices are demonstrated in both directions, however, these results were ignored by the conventional F-test. A similar results between money and prices are obtained at high lag variables.

JEL Code

C32, C52

상단으로 이동

KDIJEP