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The relation between U.S. money growth and inflation: evidence from a band-pass filter

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Author Info

  • Gary Shelley

    ()
    (Dept. of Economics & Finance East Tennessee State University)

  • Frederick Wallace

    ()
    (Dept. of Management & Marketing Prairie View A&M University)

Abstract

Christiano and Fitzgerald (2003) found a significant, positive correlation between M2 money growth and CPI inflation in all examined frequency bands for the U.S. prior to 1961. However, for post-1960 data, they found a positive correlation only in the frequency band corresponding to cycles of 20-40 years. Using their filter, we verify this result and extend the pre-1961 sample to include the monetary base and inflation calculated from the GDP deflator. In addition, we extend their post-1960 analysis to include growth in the monetary base, M1, and M3. A strongly positive correlation between post-1960 money growth and inflation exits only for the broad money aggregates and within the 20-40 year frequency band.

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File URL: http://www.accessecon.com/pubs/EB/2005/Volume5/EB-05E30001A.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 5 (2005)
Issue (Month): 8 ()
Pages: 1-13

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Handle: RePEc:ebl:ecbull:eb-05e30001

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Keywords: band-pass filter;

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  1. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
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  1. repec:hal:cesptp:hal-00308571 is not listed on IDEAS
  2. Kulaksizoglu, Tamer & Kulaksizoglu, Sebnem, 2009. "The U.S. Excess Money Growth and Inflation Relation in the Long-Run: A Nonlinear Analysis," MPRA Paper 23780, University Library of Munich, Germany.

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