Money, Output and Inflation in the Longer Term: Major Industrial Countries, 1880-2001

Dewald, William G.; Haug, Alfred A.

Money, Output and Inflation in the Longer Term: Major Industrial Countries, 1880-2001

Haug, Alfred A.; Dewald, William G.

Cite this item: Haug, A. A., & Dewald, W. G. (2010). Money, Output and Inflation in the Longer Term: Major Industrial Countries, 1880-2001 (Economics Discussion Papers Series No. 1013). Department of Economics, University of Otago. Retrieved from http://hdl.handle.net/10523/1121

Permanent link to OUR Archive version: http://hdl.handle.net/10523/1121

Date: 2010-09-01

Publisher: Department of Economics, University of Otago

Pages: 25

Series: Economics Discussion Papers Series

Series number: 1013

Keywords: Band-pass filters; role of monetary aggregates; longer-term cycles

Research Type: Discussion Paper

Abstract:

We study how fluctuations in money growth correlate with fluctuations in real output growth and inflation. Using band-pass filters, we extract cycles from each time series that last 2 to 8 (business cycles) and 8 to 40 (longer-term cycles) years. We employ annual data, 1880-2001 without gaps, for eleven industrial countries. Fluctuations in money growth do not play a systematic role at business cycle frequencies. However, money growth leads or affects contemporaneously inflation, but not real output growth, in the longer run. Also, formal break tests indicate no structural changes for the longer-term money growth and inflation relationship, despite changes in policy regimes.

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