Monetary Impacts on Prices in the Short and Long Run: Further Results for the United States

Abstract

This study examines the long-run neutrality of money and the short-run dynamics of farm and nonfarm prices to the monetary shock, using Johansen's approach. Results find a long-run equality of prices, but not neutrality. In the short-run, farm prices adjust faster than nonfarm prices to a monetary shock.

Keywords

• causality
• cointegration
• error correction model
• impulse responses
• long-run equality of prices
• maximum likelihood estimation
• neutrality of money