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Inflation, Money Growth, and 1(2) Analysis

In: New Directions in Macromodelling

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  • Katarina Juselius

Abstract

The paper discusses the dynamics of inflation and money growth in a stochastic framework, allowing for double unit roots in the nominal variables. It gives some examples of typical I(2) ’symptoms’ in empirical I(1) models and provides both a nontechnical and a technical discussion of the basic differences between the I(1) and the I(2) model. The notion of long-run and medium-run price homogeneity is discussed in terms of testable restrictions on the I(2) model. The Brazilian high inflation period of 1977:1-1985:5 illustrates the applicability of the I(2) model and its usefulness to address questions related to inflation dynamics.
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Suggested Citation

  • Katarina Juselius, 2004. "Inflation, Money Growth, and 1(2) Analysis," Contributions to Economic Analysis, in: New Directions in Macromodelling, pages 69-106, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:ceazzz:s0573-8555(04)69004-3
    DOI: 10.1016/S0573-8555(04)69004-3
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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