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La relación dinero-producto, brecha del producto e inflación subyacente: una introducción a la teoría de wavelets y sus aplicaciones


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  • Erick Lahura

    (Departamento de Economía- Pontificia Universidad Católica del Perú)


This paper is intended to introduce the theory of wavelets and some (potential) applications to the empirical analysis of macroeconomic variables and relationships. The basics of wavelets and three applications using Peruvian data are presented for this purpose: (1) an analysis of money-output causal relationship in the sense of Granger, and two proposals of alternatives measures of (2) output gap, and (3) core inflation. The Peruvian evidence supports potential advantages of using wavelets as a compliment of standard econometric techniques for analyzing non-stationary time series. Furthermore, the results are in line with those from investigations using international evidence.

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Bibliographic Info

Paper provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its series Documentos de Trabajo with number 2004-232.

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Length: 94 pages
Date of creation: 2004
Date of revision:
Publication status: published
Handle: RePEc:pcp:pucwps:wp00232

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