On the Cointegration of Money, Credit, Prices, and Real GDP

摘要

While some (Friedman and Kuttner, American Economic Review, 1992) address whether money and credit separately are cointegrated with other variables, the current study finds that the natural logs of Ml, domestic nonfinancial debt (DNFD), real GDP, and the implicit deflator together are cointegrated. Both maximum eigenvalue and trace test statistic results show cointegration for annual and quarterly data (seasonally adjusted and unadjusted). Further, the study finds cointegration for the lag structure of the model (with one through four lags) minimizing the Schwarz (Annals of Statistics, 1978) criterion (SC). The results generally hold whether a time trend is included in the VAR but not the cointegrating equation, or if a trend is also in the cointegrating equation. However, when using undifferenced "log levels" of all four variables [with DNFD being 1(2) unlike the other 1(1) variables] in seasonally adjusted form, the study finds cointegration only at confidence levels somewhat greater than 5% if a time trend is not in the cointegrating equation. Nonetheless, including a trend in the cointegrating equation produces conclusions of cointegration in both tests at the 5% level.