Does Money Granger Cause Inflation in the Euro Area?
In this paper we re-evaluate the empirical evidence on money-inflation Granger causality for the euro area and, in contrast to Trecroci and Vega (2000), conclude that money does in fact Granger cause inflation. We also show that it takes about a year and a half for changes in money growth to start passing on to inflation and five years for the whole adjustment to take place
(This abstract was borrowed from another version of this item.)
Volume (Year): (2003)
Issue (Month): ()
|Contact details of provider:|| Postal: R. do Ouro, 27, 1100 LISBOA|
Phone: 21 321 32 00
Fax: 21 346 48 43
Web page: https://www.bportugal.pt
More information through EDIRC
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.:
- James H. Stock & Mark W. Watson, 1999.
NBER Working Papers
7023, National Bureau of Economic Research, Inc.
- Trecroci, Carmine & Vega, Juan Luis, 2000. "The information content of M3 for future inflation," Working Paper Series 0033, European Central Bank.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Gerlach, Stefan & Svensson, Lars E. O., 2003.
"Money and inflation in the euro area: A case for monetary indicators?,"
Journal of Monetary Economics,
Elsevier, vol. 50(8), pages 1649-1672, November.
- Stefan Gerlach & Lars E.O. Svensson, 2000. "Money and Inflation in the Euro Area: A Case for Monetary Indicators?," NBER Working Papers 8025, National Bureau of Economic Research, Inc.
- Gerlach, Stefan & Svensson, Lars E O, 2002. "Money and Inflation in the Euro-Area: A Case for Monetary Indicators?," CEPR Discussion Papers 3392, C.E.P.R. Discussion Papers.
- Lars E.O. Svensson & Stefan Gerlach, 2001. "Money and inflation in the Euro Area: A case for monetary indicators?," BIS Working Papers 98, Bank for International Settlements.
- Gunter Coenen & Juan Luis Vega, 2000.
"The Demand for M3 in the Euro Area,"
Econometric Society World Congress 2000 Contributed Papers
0976, Econometric Society.
- Friedman, Milton, 1972. "Have Monetary Policies Failed?," American Economic Review, American Economic Association, vol. 62(2), pages 11-18, May.
- Nicoletti-Altimari, Sergio, 2001. "Does money lead inflation in the euro area?," Working Paper Series 0063, European Central Bank.
- Johansen, S., 1991.
"Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data,"
78, Helsinki - Department of Economics.
- Johansen, Soren, 1992. "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June.
- Yamada, Hiroshi & Toda, Hiro Y., 1998. "Inference in possibly integrated vector autoregressive models: some finite sample evidence," Journal of Econometrics, Elsevier, vol. 86(1), pages 55-95, June.
- Toda, Hiro Y & Phillips, Peter C B, 1993.
"Vector Autoregressions and Causality,"
Econometric Society, vol. 61(6), pages 1367-1393, November.
- James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
- Phillips, Peter C B, 1995.
"Fully Modified Least Squares and Vector Autoregression,"
Econometric Society, vol. 63(5), pages 1023-1078, September.
- Peter C.B. Phillips, 1993. "Fully Modified Least Squares and Vector Autoregression," Cowles Foundation Discussion Papers 1047, Cowles Foundation for Research in Economics, Yale University.
- Brand, Claus & Cassola, Nuno, 2000. "A money demand system for euro area M3," Working Paper Series 0039, European Central Bank.
When requesting a correction, please mention this item's handle: RePEc:ptu:bdpart:b200307. 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: (DEE-NTDD)
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.