Some Long-Run Correlations of Inflation in Developed Countries

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Using 100+ years of data from 18 developed countries, we use a frequency domain technique to compute “long-run” correlations between inflation on the one hand and money growth and nominal interest rates on the other. The estimated long-run correlations are almost always positive. Their magnitude is...

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Detalles Bibliográficos
Autores: West, Kenneth D., Cao, Tu
Formato: artículo
Fecha de Publicación:2022
Institución:Pontificia Universidad Católica del Perú
Repositorio:Revistas - Pontificia Universidad Católica del Perú
Lenguaje:inglés
OAI Identifier:oai:revistaspuc:article/25646
Enlace del recurso:http://revistas.pucp.edu.pe/index.php/economia/article/view/25646
Nivel de acceso:acceso abierto
Materia:Low frequency
Long-run neutrality
Fisher effect
Fractional integration
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spelling Some Long-Run Correlations of Inflation in Developed CountriesWest, Kenneth D.Cao, TuLow frequencyLong-run neutralityFisher effectFractional integrationUsing 100+ years of data from 18 developed countries, we use a frequency domain technique to compute “long-run” correlations between inflation on the one hand and money growth and nominal interest rates on the other. The estimated long-run correlations are almost always positive. Their magnitude is relatively substantial for money growth, more modest for interest rates. We conclude that some traditional propositions about monetary neutrality are broadly consistent with the data.Pontificia Universidad Católica del Perú2022-08-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttp://revistas.pucp.edu.pe/index.php/economia/article/view/2564610.18800/economia.202201.001Economía; Volume 45 Issue 89 (2022): Recent Developments in Inflation Dynamics; 1-232304-43060254-4415reponame:Revistas - Pontificia Universidad Católica del Perúinstname:Pontificia Universidad Católica del Perúinstacron:PUCPenghttp://revistas.pucp.edu.pe/index.php/economia/article/view/25646/24149http://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessoai:revistaspuc:article/256462022-08-02T19:56:22Z
dc.title.none.fl_str_mv Some Long-Run Correlations of Inflation in Developed Countries
title Some Long-Run Correlations of Inflation in Developed Countries
spellingShingle Some Long-Run Correlations of Inflation in Developed Countries
West, Kenneth D.
Low frequency
Long-run neutrality
Fisher effect
Fractional integration
title_short Some Long-Run Correlations of Inflation in Developed Countries
title_full Some Long-Run Correlations of Inflation in Developed Countries
title_fullStr Some Long-Run Correlations of Inflation in Developed Countries
title_full_unstemmed Some Long-Run Correlations of Inflation in Developed Countries
title_sort Some Long-Run Correlations of Inflation in Developed Countries
dc.creator.none.fl_str_mv West, Kenneth D.
Cao, Tu
author West, Kenneth D.
author_facet West, Kenneth D.
Cao, Tu
author_role author
author2 Cao, Tu
author2_role author
dc.subject.none.fl_str_mv Low frequency
Long-run neutrality
Fisher effect
Fractional integration
topic Low frequency
Long-run neutrality
Fisher effect
Fractional integration
description Using 100+ years of data from 18 developed countries, we use a frequency domain technique to compute “long-run” correlations between inflation on the one hand and money growth and nominal interest rates on the other. The estimated long-run correlations are almost always positive. Their magnitude is relatively substantial for money growth, more modest for interest rates. We conclude that some traditional propositions about monetary neutrality are broadly consistent with the data.
publishDate 2022
dc.date.none.fl_str_mv 2022-08-01
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://revistas.pucp.edu.pe/index.php/economia/article/view/25646
10.18800/economia.202201.001
url http://revistas.pucp.edu.pe/index.php/economia/article/view/25646
identifier_str_mv 10.18800/economia.202201.001
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv http://revistas.pucp.edu.pe/index.php/economia/article/view/25646/24149
dc.rights.none.fl_str_mv http://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Pontificia Universidad Católica del Perú
publisher.none.fl_str_mv Pontificia Universidad Católica del Perú
dc.source.none.fl_str_mv Economía; Volume 45 Issue 89 (2022): Recent Developments in Inflation Dynamics; 1-23
2304-4306
0254-4415
reponame:Revistas - Pontificia Universidad Católica del Perú
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
instname_str Pontificia Universidad Católica del Perú
instacron_str PUCP
institution PUCP
reponame_str Revistas - Pontificia Universidad Católica del Perú
collection Revistas - Pontificia Universidad Católica del Perú
repository.name.fl_str_mv
repository.mail.fl_str_mv
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Some Long-Run Correlations of Inflation in Developed Countries
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