Relationships—and the Lack Thereof—Between Economic Time Series, with Special Reference to Money and Interest Rates

Abstract

Extensions of time-series modeling procedures of Box and Jenkins [5] reveal that numerous economic variables which are generally regarded as being strongly interrelated may with equal validity, based on recent empirical evidence, be regarded as independent or only weakly related. Differences between these results and the bulk of econometric literature are attributed to the failure of the latter to satisfactorily account for autocorrelation. Due to limitations in the data, it is concluded that in many instances where economic relationships clearly do exist, econometric or other empirical means cannot reliably enable their existence to be ascertained.