Abstract

Research Objectives: To analyze the efficacy and robustness of the mixed frequency Granger causality test Research Methods: Take the causal relationship between money and output as an example, we compared and analyzed the difference and the robustness of the mixed frequency Granger causality test results under different circumstances Research Findings: The causal relationship between money and output is not unchangeable, and the level and power of the mixed frequency Granger causality tests are varying with different scale of money supply, the lag order, the length of forecast period, the amount of variables, the sample size and the economic stages, which results have the characteristic of heterogeneity and asymmetry. Research Innovations: Combine the mixed frequency technique with Granger causality test, we examine the causality between money and output systematically and systematically with a different viewpoint, and analyze the robustness of the method. Research Value: It is necessary to assess the effect of monetary policy under different circumstances then select the right time, and use the suitable control methods when we adopt the monetary policy control.

Key words

Mixed Frequency Data; Granger Causality Test; Monetary Policy; Tem porally Aggregation

DOI: https://doi.org/10.13653/j.cnki.jqte.2017.10.009