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The Effects of Money Growth on Inflation and Interest Rates across Spectral Frequency Bands

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  • Thoma, Mark A

Abstract

Band spectral regression techniques are used to identify the frequency bands that are most important in the relationships between money growth and inflation, and between money growth and the nominal interest rate. The results show that cycles in the growth rate of M1 from one to two years long produce higher frequency cycles in inflation and two distinct sets of higher frequency cycles in changes in the nominal interest rate. The results support models where predictable changes in money growth produce liquidity and anticipated inflation effects on nominal interest rates. Copyright 1994 by Ohio State University Press.

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Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 26 (1994)
Issue (Month): 2 (May)
Pages: 218-31

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Handle: RePEc:mcb:jmoncb:v:26:y:1994:i:2:p:218-31

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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Cited by:
  1. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Interpreting euro area inflation at high and low frequencies," European Economic Review, Elsevier, vol. 52(6), pages 964-986, August.
  2. Nachane, D.M. & Dubey, Amlendu Kumar, 2011. "The vanishing role of money in the macro-economy: An empirical investigation for India," Economic Modelling, Elsevier, vol. 28(3), pages 859-869, May.
  3. D. M. Nachane & Amlendu Kumar Dubey, 2008. "The Vanishing Role of Money in the Macroeconomy - An Empirical Investigation Based On Spectral and Wavelet Analysis," Macroeconomics Working Papers 22369, East Asian Bureau of Economic Research.
  4. Katrin Assenmacher-Wesche & Stefan Gerlach, 2006. "Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland," Working Papers 2006-05, Swiss National Bank.
  5. Mark Crosby & Glenn Otto, 2001. "Growth and the Real Exchange Rate - Evidence from Eleven Countries," Working Papers 082001, Hong Kong Institute for Monetary Research.
  6. D.M. Nachane & Amlendu Kumar Dubey, 2008. "The vanishing role of money in the macroeconomy: An Empirical investigation based on spectral and wavelet analysis," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2008-022, Indira Gandhi Institute of Development Research, Mumbai, India.
  7. Guo, Feng & Hu, Jinyan & Jiang, Mingming, 2013. "Monetary shocks and asymmetric effects in an emerging stock market: The case of China," Economic Modelling, Elsevier, vol. 32(C), pages 532-538.
  8. 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.
  9. Richard A. Ashley & Randall J. Verbrugge., 2006. "Mis-Specification in Phillips Curve Regressions: Quantifying Frequency Dependence in This Relationship While Allowing for Feedback," Working Papers e06-11, Virginia Polytechnic Institute and State University, Department of Economics.
  10. Thoma, Mark, 2004. "Electrical energy usage over the business cycle," Energy Economics, Elsevier, vol. 26(3), pages 463-485, May.
  11. Chan, Leo & Lien, Donald & Weng, Wenlong, 2008. "Financial interdependence between Hong Kong and the US: A band spectrum approach," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 507-516, October.

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