Money, Output, And Inflation In The Longer Term: Major Industrial Countries, 1880–2001
We study how fluctuations in money growth correlate with fluctuations in real output growth and inflation. Using band-pass filters, we extract cycles from each time series that last 2 to 8 (business cycles) and 8 to 40 (longer-term cycles) years. We employ annual data, 1880-2001 without gaps, for eleven industrial countries. Fluctuations in money growth do not play a systematic role at business cycle frequencies. However, money growth leads or affects contemporaneously inflation, but not real output growth, in the longer run. Also, formal break tests indicate no structural changes for the longer-term money growth and inflation relationship, despite changes in policy regimes.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 50 (2012)
Issue (Month): 3 (07)
|Contact details of provider:|| Postal: |
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0095-2583
More information through EDIRC
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0095-2583|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008.
"Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 32(2), pages 411-435, February.
- Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2006. "Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland," CEPR Discussion Papers 5723, C.E.P.R. Discussion Papers.
- 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.
- Beck, Guenter W. & Wieland, Volker, 2008.
"Central bank misperceptions and the role of money in interest-rate rules,"
Journal of Monetary Economics,
Elsevier, vol. 55(Supplemen), pages S1-S17, October.
- Beck, Günter W. & Wieland, Volker, 2008. "Central bank misperceptions and the role of money in interest rate rules," CFS Working Paper Series 2008/25, Center for Financial Studies (CFS).
- Guenter Beck & Volker Wieland, 2008. "Central bank misperceptions and the role of money in interest rate rules," Working Paper Research 147, National Bank of Belgium.
- Beck, Günter W. & Wieland, Volker, 2008. "Central Bank misperceptions and the role of money in interest rate rules," Working Paper Series 0967, European Central Bank.
- Beck, Günter & Wieland, Volker, 2008. "Central Bank Misperceptions and the Role of Money in Interest Rate Rules," CEPR Discussion Papers 6947, C.E.P.R. Discussion Papers.
- Guenter Beck & Volker Wieland, 2008. "Central Bank Misperceptions and the Role of Money in Interest Rate Rules," Discussion Papers 08-004, Stanford Institute for Economic Policy Research.
- Haug, Alfred A. & Dewald, William G., 2004. "Longer-term effects of monetary growth on real and nominal variables, major industrial countries, 1880-2001," Working Paper Series 0382, European Central Bank.
- Cogley, Timothy & Nason, James M., 1995.
"Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 19(1-2), pages 253-278.
- Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Katrin Assenmacher-Wesche & Stefan Gerlach, 2007.
"Money at Low Frequencies,"
Journal of the European Economic Association,
MIT Press, vol. 5(2-3), pages 534-542, 04-05.
- Stock, James H. & Watson, Mark W., 1999.
"Business cycle fluctuations in us macroeconomic time series,"
Handbook of Macroeconomics,
in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64
- James H. Stock & Mark W. Watson, 1998. "Business Cycle Fluctuations in U.S. Macroeconomic Time Series," NBER Working Papers 6528, National Bureau of Economic Research, Inc.
- Hafer, R.W. & Haslag, Joseph H. & Jones, Garett, 2007. "On money and output: Is money redundant?," Journal of Monetary Economics, Elsevier, vol. 54(3), pages 945-954, April.
- Neil R. Ericsson & John S. Irons & Ralph W. Tryon, 2000.
"Output and inflation in the long run,"
International Finance Discussion Papers
687, Board of Governors of the Federal Reserve System (U.S.).
- Lawrence Christiano & Roberto Motto & Massimo Rostagno, 2007. "Two Reasons Why Money and Credit May be Useful in Monetary Policy," NBER Working Papers 13502, National Bureau of Economic Research, Inc.
- Christian J. Murray, 2003. "Cyclical Properties of Baxter-King Filtered Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 472-476, May.
- Sargent, Thomas & Surico, Paolo, 2008. "Monetary policies and low-frequency manifestations of the quantity theory," Discussion Papers 26, Monetary Policy Committee Unit, Bank of England.
When requesting a correction, please mention this item's handle: RePEc:bla:ecinqu:v:50:y:2012:i:3:p:773-787. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.