On the Empirics of the Non-neutrality of Money: Evidence from Developed Countries

Petr Duczynski ()
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Petr Duczynski: Faculty of Informatics and Management, University of Hradec Králové

Czech Journal of Economics and Finance (Finance a uver), 2005, vol. 55, issue 5-6, 267-282

Abstract: The paper examines the cyclical behavior of money and prices in a sample of developed countries dating from 1951 to 1990. Evident in the data is a tendency toward an average countercyclical behavior of the price level and a weakly procyclical behavior of nominal monetary aggregates. For money (M1) and money plus quasi-money (M2), correlation coefficients between the real per capita output growth rate and the half lag in the money growth rate are higher on average than correlation coefficients between the real per capita output growth rate and the half lead in the money growth rate, thus indicating that money changes precede output changes. There is at least some evidence that M2 is more strongly associated with real output M1 or high-powered money (M0). As opposed to developed countries, high-inflation Latin American countries exhibit a countercyclical behavior of money.

Keywords: consumer prices; half-lag and half-lead growth rates; nominal monetary aggregates; real output per capita (search for similar items in EconPapers)
JEL-codes: E31 E32 N10 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:55:y:2005:i:5-6:p:267-282

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