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As a way of overcoming this difficulty, we propose a method for analysing Granger causality which is based on a vector autoregressive model with time\u2010varying parameters. We model parameter time\u2010variation so as to reflect changes in Granger causality, and assume that these changes are stochastic and governed by an unobservable Markov chain. When applied to US data, our methodology allows us to reconcile previous puzzling differences in the outcome of conventional tests for money\u2013output causality. Copyright \u00a9 2005 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.819","type":"journal-article","created":{"date-parts":[[2005,7,27]],"date-time":"2005-07-27T16:08:48Z","timestamp":1122480528000},"page":"665-683","source":"Crossref","is-referenced-by-count":110,"title":["Markov switching causality and the money\u2013output relationship"],"prefix":"10.1002","volume":"20","author":[{"given":"Zacharias","family":"Psaradakis","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Morten O.","family":"Ravn","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Martin","family":"Sola","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2005,7,27]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951764"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951753"},{"key":"e_1_2_7_4_1","first-page":"864","article-title":"International evidence on the historical properties of business cycles","volume":"82","author":"Backus DK","year":"1992","journal-title":"American Economic Review"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00079-7"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2998540"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391542"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0167-2231(86)90037-0"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(02)00112-4"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(88)90020-7"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(97)00065-1"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(85)90038-8"},{"key":"e_1_2_7_13_1","first-page":"91","volume-title":"NBER Macroeconomics Annual 1986","author":"Eichenbaum M","year":"1986"},{"key":"e_1_2_7_14_1","first-page":"472","article-title":"Money, income, prices, and interest rates","volume":"82","author":"Friedman BM","year":"1992","journal-title":"American Economic Review"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(93)90064-C"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1006\/redy.1998.0055"},{"key":"e_1_2_7_17_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton JD","year":"1994"},{"key":"e_1_2_7_18_1","unstructured":"HansenBE.1990.Lagrange multiplier tests of parameter instability in non\u2010linear models. 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