La relación dinero-producto, brecha del producto e inflación subyacente: una introducción a la teoría de wavelets y sus aplicaciones

Erick Lahura

No 2004-232, Documentos de Trabajo / Working Papers from Departamento de Economía - Pontificia Universidad Católica del Perú

Abstract: This paper is intended to introduce the theory of wavelets and some (potential) applications to the empirical analysis of macroeconomic variables and relationships. The basics of wavelets and three applications using Peruvian data are presented for this purpose: (1) an analysis of money-output causal relationship in the sense of Granger, and two proposals of alternatives measures of (2) output gap, and (3) core inflation. The Peruvian evidence supports potential advantages of using wavelets as a compliment of standard econometric techniques for analyzing non-stationary time series. Furthermore, the results are in line with those from investigations using international evidence.

Pages: 94 pages
Date: 2004
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