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Money and output: New evidence based on wavelet coherence

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  • Caraiani, Petre

Abstract

We reassess the relationship between money and output using quarterly data from the US economy. We use several tools based on wavelets, the wavelet power transform and the wavelet coherence with which we analyze this relationship in both time and frequency. We find evidence of a weaker relationship within the Great Moderation as well as a stronger relationship during the Great Recession.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 116 (2012)
Issue (Month): 3 ()
Pages: 547-550

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Handle: RePEc:eee:ecolet:v:116:y:2012:i:3:p:547-550

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Business cycles; Money; Wavelets;

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  1. Christiano, Lawrence J. & Ljungqvist, Lars, 1988. "Money does Granger-cause output in the bivariate money-output relation," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 217-235, September.
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  4. Favara, Giovanni & Giordani, Paolo, 2002. "Reconsidering the Role of Money for Output, Prices and Interest Rates," Working Paper Series in Economics and Finance 514, Stockholm School of Economics.
  5. Canzoneri, Matthew B & Cumby, Robert & Diba, Behzad & López-Salido, J David, 2008. "Monetary Aggregates and Liquidity in a Neo-Wicksellian Framework," CEPR Discussion Papers 6813, C.E.P.R. Discussion Papers.
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  7. Luís Aguiar-Conraria & Maria Soares, 2011. "Oil and the macroeconomy: using wavelets to analyze old issues," Empirical Economics, Springer, vol. 40(3), pages 645-655, May.
  8. Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3061-3074, February.
  9. Aguiar-Conraria, LuI´s & Joana Soares, Maria, 2011. "Business cycle synchronization and the Euro: A wavelet analysis," Journal of Macroeconomics, Elsevier, vol. 33(3), pages 477-489, September.
  10. Morten O. Ravn & Zacharias Psaradakis & Martin Sola, 2005. "Markov switching causality and the money-output relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 665-683.
  11. Gallegati Marco & Gallegati Mauro, 2007. "Wavelet Variance Analysis of Output in G-7 Countries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(3), pages 1-25, September.
  12. Yogo, Motohiro, 2008. "Measuring business cycles: A wavelet analysis of economic time series," Economics Letters, Elsevier, vol. 100(2), pages 208-212, August.
  13. Marco Gallegati & Mauro Gallegati & James Bernard Ramsey & Willi Semmler, 2011. "The US Wage Phillips Curve across Frequencies and over Time," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(4), pages 489-508, 08.
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