Some Long-Run Correlations of Inflation in Developed Countries

Kenneth D. West and Tu Cao
Additional contact information
Kenneth D. West: University of Wisconsin
Tu Cao: University of Wisconsin

Revista Economía, 2022, vol. 45, issue 89, 1-23

Abstract: 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.

Keywords: Low frequency; Long-run neutrality; Fisher effect; Fractional integration (search for similar items in EconPapers)
JEL-codes: E31 E41 E43 E52 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
https://revistas.pucp.edu.pe/index.php/economia/article/view/25646/24149 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pcp:pucrev:y:2022:i:89:p:1-23

Access Statistics for this article

Revista Economía is currently edited by Luis García

More articles in Revista Economía from Fondo Editorial - Pontificia Universidad Católica del Perú Av. Universitaria 1801, San Miguel, Lima, Perú. Contact information at EDIRC.
Bibliographic data for series maintained by ().