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:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/186806
Enlace del recurso:https://revistas.pucp.edu.pe/index.php/economia/article/view/25646/24149
https://doi.org/10.18800/economia.202201.001
Nivel de acceso:acceso abierto
Materia:Low frequency
Long-run neutrality
Fisher effect
Fractional integration
https://purl.org/pe-repo/ocde/ford#5.02.01
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spelling West, Kenneth D.Cao, Tu2022-10-03T16:47:05Z2022-10-03T21:18:35Z2022-10-03T16:47:05Z2022-10-03T21:18:35Z2022-08-01https://revistas.pucp.edu.pe/index.php/economia/article/view/25646/24149https://doi.org/10.18800/economia.202201.001Using 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.application/pdfengPontificia Universidad Católica del PerúPEurn:issn:2304-4306urn:issn:0254-4415info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0Economía; Volume 45 Issue 89 (2022): Recent Developments in Inflation Dynamicsreponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPLow frequencyLong-run neutralityFisher effectFractional integrationhttps://purl.org/pe-repo/ocde/ford#5.02.01Some Long-Run Correlations of Inflation in Developed Countriesinfo:eu-repo/semantics/articleArtículo20.500.14657/186806oai:repositorio.pucp.edu.pe:20.500.14657/1868062025-03-21 15:33:14.043http://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessmetadata.onlyhttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.pe
dc.title.en_US.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
https://purl.org/pe-repo/ocde/ford#5.02.01
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
author West, Kenneth D.
author_facet West, Kenneth D.
Cao, Tu
author_role author
author2 Cao, Tu
author2_role author
dc.contributor.author.fl_str_mv West, Kenneth D.
Cao, Tu
dc.subject.en_US.fl_str_mv Low frequency
Long-run neutrality
Fisher effect
Fractional integration
topic Low frequency
Long-run neutrality
Fisher effect
Fractional integration
https://purl.org/pe-repo/ocde/ford#5.02.01
dc.subject.ocde.none.fl_str_mv https://purl.org/pe-repo/ocde/ford#5.02.01
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.accessioned.none.fl_str_mv 2022-10-03T16:47:05Z
2022-10-03T21:18:35Z
dc.date.available.none.fl_str_mv 2022-10-03T16:47:05Z
2022-10-03T21:18:35Z
dc.date.issued.fl_str_mv 2022-08-01
dc.type.none.fl_str_mv info:eu-repo/semantics/article
dc.type.other.none.fl_str_mv Artículo
format article
dc.identifier.uri.none.fl_str_mv https://revistas.pucp.edu.pe/index.php/economia/article/view/25646/24149
dc.identifier.doi.none.fl_str_mv https://doi.org/10.18800/economia.202201.001
url https://revistas.pucp.edu.pe/index.php/economia/article/view/25646/24149
https://doi.org/10.18800/economia.202201.001
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.ispartof.none.fl_str_mv urn:issn:2304-4306
urn:issn:0254-4415
dc.rights.es_ES.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0
dc.format.none.fl_str_mv application/pdf
dc.publisher.es_ES.fl_str_mv Pontificia Universidad Católica del Perú
dc.publisher.country.none.fl_str_mv PE
dc.source.es_ES.fl_str_mv Economía; Volume 45 Issue 89 (2022): Recent Developments in Inflation Dynamics
dc.source.none.fl_str_mv reponame:PUCP-Institucional
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
instname_str Pontificia Universidad Católica del Perú
instacron_str PUCP
institution PUCP
reponame_str PUCP-Institucional
collection PUCP-Institucional
repository.name.fl_str_mv Repositorio Institucional de la PUCP
repository.mail.fl_str_mv repositorio@pucp.pe
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score 13.897138
Some Long-Run Correlations of Inflation in Developed Countries
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