COINTEGRATION AND WAVELETS: AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN MONEY AND OUTPUT IN PERU

Erick Lahura

No 259, Econometric Society 2004 Latin American Meetings from Econometric Society

Abstract: This paper analyses empirically the relationship between money and output in Peru, based on an orthogonal decomposition of series by timescales obtained using wavelets, following Ramsey and Lampart (1998). Specifically, we propose the application of wavelet filtering to analyze cointegrating relationships. No evidence of cointegration between money, real output and prices is found. However, there is evidence of cointegration between non-stationary components of the series that includes different timescale details obtained using wavelets; this result could be considered as an alternative way to represent the existence of hidden co- integration. In this context, it is found that (1) the link between money and real output is not unique, and (2) the direction of causality and exogenity depends on both the timescale and the monetary aggregate considered

Keywords: wavelets; timescale; money; output; cointegration; hidden cointegration (search for similar items in EconPapers)
JEL-codes: C22 C49 (search for similar items in EconPapers)
Date: 2004-08-11
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:ecm:latm04:259

Access Statistics for this paper

More papers in Econometric Society 2004 Latin American Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().