The money-inflation nexus revisited
نویسندگان
چکیده
we propose a Bayesian Logistic Smooth Transition Autoregressive (LSTAR) model with stochastic volatility (SV) to inflation dynamics in nonlinear fashion. Inflationary regimes are determined by smoothed money growth which serves as transition variable that governs the between regimes. We apply this approach quarterly data from US, UK and Canada able identify well-known, high periods samples. Moreover, our results suggest role of is specific economy under scrutiny it can help improve forecasting accuracy. Finally, analyze variety different specifications confirm adjusted still has leading indicator properties on
منابع مشابه
Commodity Money Inflation
This paper presents a theory of inflation in an economy with commodity money and supports it by evidence from the inflationary episodes in France during the fourteenth and fifteenth centuries. The paper shows that commodity money can be inflated similarly to fiat money through repeated debasements, which act like devaluation. Furthermore, as with fiat money, demand for commodity money falls wit...
متن کاملThe IPE of money revisited
Some two decades after an earlier review essay of mine, the time seems ripe to revisit the international political economy (IPE) of money. How has the study of money evolved in more recent years, and what is the understanding of international monetary politics today? The main message of this essay is – to be blunt – disappointment. Research has become increasingly insular and introspective, lar...
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2023
ISSN: ['0927-5398', '1879-1727']
DOI: https://doi.org/10.1016/j.jempfin.2023.07.002