Please use this identifier to cite or link to this item:
Scharnagl, Michael
Mandler, Martin
Year of Publication: 
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Monetary Modelling E23-V3
We apply wavelet analysis to compare the relationship between simple sum and Divisa monetary aggregates with real GDP and CPI infl ation for the U.S. using data from 1967 to 2013. Wavelet analysis allows to account for variations in the relationships both across the frequency spectrum and across time. While we find evidence for a weaker comovement of Divisia compared to simple sum monetary aggregates with real GDP the relationship between money growth and infl ation is estimated to be much tighter between Divisia monetary aggregates and CPI infl ation than for simple sum aggregates, in particular at lower frequencies. Furthermore, for the Divisia indices for broader monetary aggregates (M2, M2M, MZM) we estimate a stable lead before CPI in flation of about four to five years.
Document Type: 
Conference Paper

Files in This Item:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.