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Money and output: New evidence based on wavelet coherence

  • Caraiani, Petre

We reassess the relationship between money and output using quarterly data from the US economy. We use several tools based on wavelets, the wavelet power transform and the wavelet coherence with which we analyze this relationship in both time and frequency. We find evidence of a weaker relationship within the Great Moderation as well as a stronger relationship during the Great Recession.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165176512002455
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 116 (2012)
Issue (Month): 3 ()
Pages: 547-550

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Handle: RePEc:eee:ecolet:v:116:y:2012:i:3:p:547-550
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
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  5. Psaradakis, Zacharias & Ravn, Morten O & Sola, Martin, 2003. "Markov Switching Causality and the Money-Output Relationship," CEPR Discussion Papers 3803, C.E.P.R. Discussion Papers.
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  8. Fabio Canova & Tobias Menz, 2011. "Does Money Matter in Shaping Domestic Business Cycles? An International Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(4), pages 577-607, 06.
  9. Luís Aguiar-Conraria & Maria Soares, 2011. "Oil and the macroeconomy: using wavelets to analyze old issues," Empirical Economics, Springer, vol. 40(3), pages 645-655, May.
  10. Marco Gallegati & Mauro Gallegati & James Bernard Ramsey & Willi Semmler, 2011. "The US Wage Phillips Curve across Frequencies and over Time," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(4), pages 489-508, 08.
  11. Crowley, Patrick, 2005. "An intuitive guide to wavelets for economists," Research Discussion Papers 1/2005, Bank of Finland.
  12. Christiano, Lawrence J. & Ljungqvist, Lars, 1988. "Money does Granger-cause output in the bivariate money-output relation," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 217-235, September.
  13. Yogo, Motohiro, 2008. "Measuring business cycles: A wavelet analysis of economic time series," Economics Letters, Elsevier, vol. 100(2), pages 208-212, August.
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  16. Gallegati Marco & Gallegati Mauro, 2007. "Wavelet Variance Analysis of Output in G-7 Countries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(3), pages 1-25, September.
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