International Evidence on the Long-Run Impact of Inflation

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International Evidence on the Long-Run Impact of Inflation

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Rapach, David E

Abstract

In this paper, I use a structural vector autoregression framework to analyze the effects of a permanent change in inflation on the long-run real interest rate and real output level in 14 industrialized countries. Long-run monetary superneutrality is rejected for all 14 countries using annual data: the results indicate that a permanent increase in inflation lowers the long-run real interest rate in each country; a permanent increase in inflation also increases the long-run real output level in a number of countries. Long-run monetary superneutrality is also rejected for four out of the five countries examined using quarterly data.

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

Volume (Year): 35 (2003)
Issue (Month): 1 (February)
Pages: 23-48
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Handle: RePEc:mcb:jmoncb:v:35:y:2003:i:1:p:23-48

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Christie Smith, 2004. "The long-run effects of monetary policy on output growth," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 67, September. [Downloadable!]
Bhattacharya, Joydeep & Haslag, Joseph & Russell, Steven, 2004. "The Role of Money in Two Alternative Models: When is the Friedman Rule Optimal, and Why?," Staff General Research Papers 11950, Iowa State University, Department of Economics. [Downloadable!]
Other versions:
- Bhattacharya, Joydeep & Haslag, Joseph & Russell, Steven, 2005. "The role of money in two alternative models: When is the Friedman rule optimal, and why?," Journal of Monetary Economics, Elsevier, vol. 52(8), pages 1401-1433, November. [Downloadable!] (restricted)
Gillman, Max & Nakov, Anton, 2005. "Granger Causality of the Inflation-Growth Mirror in Accession Countries," CEPR Discussion Papers 4845, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- Max Gillman & Anton Nakov, 2004. "Granger causality of the inflation-growth mirror in accession countries," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 12(4), pages 653-681, December. [Downloadable!] (restricted)
Andreas Beyer & Alfred A. Haug & William G. Dewald, 2009. "Structural Breaks, Cointegration and the Fisher Effect," Working Paper Series 1013, European Central Bank. [Downloadable!]
John Keating, 2004. "Interpreting Permanent and Transitory Shocks to Output When Aggregate Demand May Not Be Neutral in the Long-run," Econometric Society 2004 North American Summer Meetings 608, Econometric Society. [Downloadable!]
Ricardo Lagos & Guillaume Rocheteau, 2004. "Inflation, output, and welfare," Working Paper 0407, Federal Reserve Bank of Cleveland. [Downloadable!]
Other versions:
- Ricardo Lagos & Guillaume Rocheteau, 2004. "Inflation, output and welfare," Staff Report 342, Federal Reserve Bank of Minneapolis. [Downloadable!]
- Ricardo Lagos & Guillaume Rocheteau, 2005. "Inflation, Output, And Welfare," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 46(2), pages 495-522, 05. [Downloadable!] (restricted)
Max Gillman & Michal Kejak, 2007. " Inflation, Financial Development and Human Capital-Based Endogenous Growth: an Explanation of Ten Empirical Findings," CDMA Conference Paper Series 0703, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]
Céline Gauthier & Fu Chun Li, 2006. "Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model," Working Papers 06-42, Bank of Canada. [Downloadable!]
Eric Kam & Paul Missios, 2003. "Wealth effects in a cash-in-advance economy," Economics Bulletin, Economics Bulletin, vol. 5(2), pages 1-7. [Downloadable!]

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