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The long-run relationship between money and prices in Mexico: 1969-2010

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  • Gomez-Ruano, Gerardo

Abstract

This paper performs a spectral analysis (univariate and bivariate) of monthly series of growth in money (a narrow and a broad aggregate) and in prices for Mexico. This analysis allows the identification of the most important frequencies for each series, as well as of some measures of association between the series, at different frequencies. In particular, zero frequency measures, typically used for identifying the long-run relationship between money and prices, are obtained. In addition to the analysis of the entire series (1969-2010), a rolling sample analysis for the zero frequency is also carried out to allow for changes in the long-run relationships.

Suggested Citation

  • Gomez-Ruano, Gerardo, 2014. "The long-run relationship between money and prices in Mexico: 1969-2010," MPRA Paper 93647, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:93647
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    File URL: https://mpra.ub.uni-muenchen.de/93647/1/MPRA_paper_93647.pdf
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    References listed on IDEAS

    as
    1. Benati, Luca, 2009. "Long run evidence on money growth and inflation," Working Paper Series 1027, European Central Bank.
    2. Lucas, Robert E, Jr, 1980. "Two Illustrations of the Quantity Theory of Money," American Economic Review, American Economic Association, vol. 70(5), pages 1005-1014, December.
    3. Thomas J. Sargent & Paolo Surico, 2011. "Two Illustrations of the Quantity Theory of Money: Breakdowns and Revivals," American Economic Review, American Economic Association, vol. 101(1), pages 109-128, February.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    quantitative theory; spectral analysis; zero frequency; long run; money aggregates; prices; inflation;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E59 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Other
    • N16 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Latin America; Caribbean

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