In this paper, the evidence collected in the large literature on testing for Granger-causality from money to output is revisited. Using a broad data base of 14 EU-countries plus Canada, the US and Japan, and quarterly data from the mid 60s to the mid 90s, a number of hypotheses from this...

This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework. Applying our multivariate framework allows deriving consistent estimators of monetary policy effects....