Money at Low Frequencies
AbstractMany central banks have abandoned monetary targeting because the link between money growth and inflation seemed to disappear in the 1980s. Using spectral regression techniques, we show that for the euro area, Japan, the UK and the US there is a unit relationship between money growth and inflation at low frequencies when the impact of interest rate changes on money demand is accounted for. We estimate Phillips-curve equations in which the low-frequency information from money growth is combined with high-frequency information from the output gap to explain movements in inflation.
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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 5868.
Date of creation: Oct 2006
Date of revision:
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Other versions of this item:
- Katrin Assenmacher-Wesche & Stefan Gerlach, 2007. "Money at Low Frequencies," Journal of the European Economic Association, MIT Press, MIT Press, vol. 5(2-3), pages 534-542, 04-05.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-04 (All new papers)
- NEP-CBA-2006-11-04 (Central Banking)
- NEP-EEC-2006-11-04 (European Economics)
- NEP-MAC-2006-11-04 (Macroeconomics)
- NEP-MON-2006-11-04 (Monetary Economics)
- NEP-SEA-2006-11-04 (South East Asia)
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