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ANoteofCautionontheRelationbetweenMoneyGrowthandInflation
HelgeBerger,SuneKarlsson,andP?r?sterholm
WP/23/137
IMFWorkingPapersdescriberesearchin
progressbytheauthor(s)andarepublishedto
elicitcommentsandtoencouragedebate.
TheviewsexpressedinIMFWorkingPapersare
thoseoftheauthor(s)anddonotnecessarily
representtheviewsoftheIMF,itsExecutiveBoard,
orIMFmanagement.
2023
JUN
NAr
N
R
?2023InternationalMonetaryFund
WP/23/137
IMFWorkingPaper
EuropeanDepartment
ANoteofCautionontheRelationbetweenMoneyGrowthandInflation*
HelgeBerger#
InternationalMonetaryFund
FreeUniversityBerlin
CESifo
SuneKarlsson?
SchoolofBusiness,?rebroUniversity
P?r?sterholm。
SchoolofBusiness,?rebroUniversity
NationalInstituteofEconomicResearch
AuthorizedfordistributionbyAlfredKammer
June2023
IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicit
commentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseofthe
author(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.
ABSTRACT:Weassessthebivariaterelationbetweenmoneygrowthandinflationintheeuroareaandthe
UnitedStatesusinghybridtime-varyingparameterBayesianVARmodels.Modelselectionbasedonmarginallikelihoodssuggeststhattherelationisstatisticallyunstableacrosstimeinbothregions.Theeffectofmoney
growthoninflationweakenednotablyafterthe1980sbeforestrengtheningafter2020.Thereisevidencethatthistimevariationisrelatedtothepaceofpricechanges,aswefindthatthemaximumimpactofmoneygrowthoninflationisincreasinginthetrendlevelofinflation.Theseresultscautionagainstassertingasimple,time-
invariantrelationshipwhenmodelingthejointdynamicsofmonetaryaggregatesandconsumerprices.
JELClassificationNumbers:
E31,E37,E47,E51
Keywords:
BayesianVAR;Time
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