Resumen de Implications of endogenous money growth for some tests of superneutrality and the fisher effect
Superneutrality of money and the Fisher Effect are well-known theoretical propositions. Empiricaltests of long-run versions of these hypotheses have sometimes been done by estimating how avariable responds to a permanent shock to inflation. Substituting inflation for money growth in atest for superneutrality is motivated by the widely-accepted Monetarist precept that “inflation iseverywhere and always a monetary phenomenon.” Use of permanent shocks to inflation and moneygrowth for testing such hypotheses has declined, in part because permanent movements in thesevariables have an endogenous component and so estimates are biased. But the sign of the biasmay be determined using credible qualitative assumptions about the effects of structural shocks onvariables. These results are used to re-examine multi-country findings from two different structuralVAR models that estimate the effects of permanent inflation shocks. One finding is rejection ofsuperneutrality for output in favor of a long-run positive output effect from permanently highermoney growth. The second is rejection of the Fisher Effect in favor of nominal rates movingless than one-for-one in the long run with inflation. Both rejections are shown to be robust toendogenous money growth bias under a wide range of plausible structural assumptions. Theseresults for real interest rates and output provide evidence in support of structural models whichgive rise to a Mundell-Tobin effect.
