Money Growth and Consumer Price Inflation in the Euro Area: A Wavelet Analysis
Money Growth and Consumer Price Inflation in the Euro Area: A Wavelet Analysis
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欧元区的货币增长和消费者价格通胀：小波分析
DOI：
10.2139/ssrn.2797012
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发表时间：
2014
期刊：
影响因子：
--
通讯作者：
Michael Scharnagl
中科院分区：
文献类型：
--
作者：
Martin Mandler;Michael Scharnagl
本文运用小波分析方法研究了欧元区货币增长与消费价格通胀之间的关系。小波分析允许解释货币增长-通胀关系的变化，无论是在频谱上还是在时间上。我们发现了货币增长和通胀之间以货币增长为主导变量的低频率强相互作用的证据。然而，我们对中长期频率的时间变化的分析表明，这种关系在20世纪90年代中期之后有所减弱，这也反映在领先指标性质的恶化和交叉小波增益的下降。相比之下，由于未能考虑时间变化的影响，大多数文献估计货币增长和通胀之间的长期稳定关系一直持续到本世纪头十年。
Our paper studies the relationship between money growth and consumer price inflation in the euro area using wavelet analysis. Wavelet analysis allows to account for variations in the money growth-inflation relationship both across the frequency spectrum and across time. We find evidence of strong comovements between money growth and inflation at low frequencies with money growth as the leading variable. However, our analysis of time variation at medium-to-long-run frequencies indicates a weakening of the relationship after the mid 1990s which also reflects in a deterioration of the leading indicator property and a decline in the cross wavelet gain. In contrast, most of the literature, by failing to account for the effects of time variation, estimated stable long-run relationships between money growth and inflation well into the 2000s.