A note of caution on the relation between money growth and inflation

Helge Berger, Sune Karlsson and Pär Österholm

We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The effect that shocks to money growth has on inflation weakened notably after the 1980s before making a comeback after 2020. This instability implies that caution should be exercised when relating monetary aggregates to inflation.

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Year of publication:	[2023]
Authors:	Berger, Helge ; Karlsson, Sune ; Österholm, Pär
Publisher:	Örebro, Sweden : Örebro University School of Business
Subject:	Bayesian VAR \| Time-varying parameters \| Stochastic volatility \| Model selection \| Inflation \| VAR-Modell \| VAR model \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Bayes-Statistik \| Bayesian inference \| Geldmenge \| Money supply \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Prognoseverfahren \| Forecasting model

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Extent:	1 Online-Ressource (circa 12 Seiten) Illustrationen
Series:	Working paper. - Örebro, Sweden : Örebro University School of Business, ISSN 1403-0586, ZDB-ID 3076307-1. - Vol. 2023, 9
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/274608 [Handle]
Classification:	E31 - Price Level; Inflation; Deflation ; E37 - Forecasting and Simulation ; E47 - Forecasting and Simulation ; E51 - Money Supply; Credit; Money Multipliers
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014252440