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Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach

Stelios Bekiros (), Muzaffar Ahmed T., Uddin Gazi S. and Vidal-García Javier
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Muzaffar Ahmed T.: University of Western Sydney, School of Business, Parramatta Campus, Locked Bag 1797, Penrith, NSW 2751, Australia
Uddin Gazi S.: Linköping University, Department of Management and Engineering, SE-581 83Linköping, Sweden
Vidal-García Javier: Complutense University Madrid, Madrid, Spain

Studies in Nonlinear Dynamics & Econometrics, 2017, vol. 21, issue 3, 12

Abstract: We examine the relationship between money supply growth and inflation in 3 Asian Economies which are India, Malaysia and Japan using a time-frequency approach. The application of a unified multi-scale analysis allows us to provide a continuous assessment of the link between money supply growth and inflation, unlike most of the existing literature studying this relationship. We also employ a bivariate frequency-domain causality test to determine the nature and direction of interdependence between money supply growth and inflation dynamics. Our findings provide a better understanding of their lead-lag linkages and causal relationship in the selected countries of the Asia-Pacific region.

Keywords: monetary policy; wavelet analysis; nonlinear causality (search for similar items in EconPapers)
JEL-codes: C40 E3 E4 E50 (search for similar items in EconPapers)
Date: 2017
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