The Dynamics of Money Demand and Prices.
The paper evaluates whether a monetary aggregate can serve as a useful predictor of inflation, using recent developments in the principle of cointegrated variables. M2 but not M1 is cointegrated with relevant price, transactions, and rate of return variables. However, deviations of M2 from its long-...
| Corporate Author: | |
|---|---|
| Format: | Journal |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
1990.
|
| Series: | IMF Working Papers; Working Paper ;
No. 1990/075 |
| Online Access: | Full text available on IMF |
| Summary: | The paper evaluates whether a monetary aggregate can serve as a useful predictor of inflation, using recent developments in the principle of cointegrated variables. M2 but not M1 is cointegrated with relevant price, transactions, and rate of return variables. However, deviations of M2 from its long-run equilibrium value do not significantly enhance inflation forecasts based on conventional output-gap models, a result that stands in contrast to the Federal Reserve's P* relationship. Nevertheless, changes in M2 do contain information about future inflation, consistent with the view that the demand for money reflects the forward-looking behavior of private agents. |
|---|---|
| Item Description: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Physical Description: | 1 online resource (50 pages) |
| Format: | Mode of access: Internet |
| ISSN: | 1018-5941 |
| Access: | Electronic access restricted to authorized BRAC University faculty, staff and students |