TY - JOUR ID - 54810 TI - Survey of Money- Output Causality: Case Study of Iran, Based on Vector Error Correction Model (VECM) JO - Iranian Economic Review JA - IER LA - en SN - 1026-6542 AU - Motamedi, Monireh AU - Mohammadian, Ghazaleh AD - Ph.D. in Economics, Monetary and Banking Research Institute (MBRI), Tehran, Iran AD - Ph.D. Candidate, School of Computer Science, Engineering and Mathematics, Flinders University, Australia. Y1 - 2014 PY - 2014 VL - 18 IS - 3 SP - 115 EP - 132 KW - monetary policy KW - Error Correction Model KW - Granger Causality KW - Variance Decomposition KW - Money-Output Relationship DO - 10.22059/ier.2015.54810 N2 - This study investigated the dynamic relationship between money, prices and output in a multivariate structure of casualty analysis in Iran for the two period of 1969 to 2012 (entire period) and 1989 to 2012 (sub-period). This statistical framework has been projected for situations where causal links may have changed over the sample period. Results of a three-variable Vector Error Correction Model (VECM) analysis were indicative for existence of one co-integrated relationship between money supply, price and real output at both periods. Although there was a long run relationship between money, output and prices for both periods, direction of casualty has changed for sub-period. Also error correction terms showed that short run adjustment toward long run equilibrium was faster and stranger at sub-period, when Central Bank of Iran (CBI) adopted expansionary monetary policy and consequently rapid increase in liquidity. Finally money- output causality was not confirmed in this method and presence of correlation (not causality) between variables may just resulted from some other variables in economy as source of changes. UR - https://ier.ut.ac.ir/article_54810.html L1 - https://ier.ut.ac.ir/article_54810_ebbba6f4ef499dadbf583da764df8238.pdf ER -