The money-inflation nexus revisited
| Autor: | Ringwald, Leopold, Zörner, Thomas O. |
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| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: | |
| Popis: | This paper proposes a Bayesian Logistic Smooth Transition Autoregressive (LSTAR) model with stochastic volatility (SV) to model inflation dynamics in a nonlinear fashion. Inflationary regimes are determined by smoothed money growth which serves as a transition variable that governs the transition between regimes. We apply this approach on quarterly data from the US, the UK and Canada and are able to identify well-known, high inflation periods in the samples. Moreover, our results suggest that the role of money growth is specific to the economy under scrutiny. Finally, we analyse a variety of different model specifications and are able to confirm that adjusted money growth still has leading indicator properties on inflation regimes. Series: Department of Economics Working Paper Series |
| Databáze: | OpenAIRE |
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