This paper uses several methods to study the interrelationship among Divisia monetary aggregates, prices, and income; allowing for non-stationary, non-linearities, asymmetries, and time-varying relationships among the series. We propose a multivariate regime switching unobserved components model...

We employ a money-based early warning model in order to analyse the risk of a low inflation regime in the euro area, Japan and the US. The model specification allows for three different inflation regimes: Low, Medium and High inflation, while state transition probabilities vary over time as a...