Testing the long run neutrality of money based on the seasonal cointegration theory: The case of Iran



This article uses seasonal integration and co integration techniques to test the hypothesis of neutrality of money, using data from the Iranian economy. Seasonal data for the three variables of money supply, output and prices show that (increase in) money supply and the price level are co integrated at zero frequency, but one does not see such a relationship between (increase in) money supply and output. These results imply that in the long run changes in money supply only influence nominal variables not real ones. We can thus say that in the long run, money is (super) neutral.