Money and Inflation
Lost Cointegration
Bibliographic Data
| ID | 6108837 |
|---|---|
| Authors | Aleš Michl (Institute of Technology and Business, corresponding author) |
| Year | 2019 |
| Volume | 67 |
| Issue | 4 |
| Pages | 385-405 |
| Publication date | 2019-09-03 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Politická ekonomie (JOURNAL) |
| Journal identifiers | ISSN: 0032-3233 • E-ISSN: 2336-8225 |
| Publisher | Prague University of Economics and Business (PUBLISHER • CZ) |
| DOI | 10.18267/j.polek.1255 |
| OpenAlex | W2972586446 |
| Language | EN |
| Citations received | 1 |
| References cited | 15 |
Using a cointegration, we show that there is no long-term relationship between money in the economy M and real (and nominal) GDP and CPI (US data from 1959 to 2018). There is no empirical evidence to support the textbook claim that "inflation is always and everywhere a monetary phenomenon". Only when we shorten the time series to the period before the crisis (1959-2008), there is a cointegration between CPI and M2, but only at the 10% significance level and only according to one of two co-integration tests. The relationship that existed before the crisis either had to fall apart or change. There are three possible explanations: (1) The growth of M in low-inflation economies (CPI below 10% annually) is distributed more equally between CPI and real GDP than in the event of significant changes in M. (2) The falling velocity of money after the crisis of 2008/2009. (3) The last possibility is an increase in the adequacy problem of inflation - the CPI does not adequately reflect the economic definition of inflation
Cointegration · Deflation · Econometrics · Economics · Financial crisis · Inflation (cosmology) · Keynesian economics · Macroeconomics · Monetary economics · Monetary policy · Real gross domestic product · Economic Theory and Policy · Market Dynamics and Volatility · Monetary Policy and Economic Impact
| Unique citing works | 1 |
|---|---|
| Citations per year | 0.33 |
| Citation span | 2023 - 2023 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |