The intertemporal relation between money and prices: evidence from Argentina

In this paper, we study the statistical relationship between money and prices in Argentina during the last quarter of the 20th century. We first look at the unit root characteristics of the series which suggest dividing the whole sample into two sub-samples: 1976 to 1989 and 1991 to 2001, as these s...

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Autores principales:	Gabrielli, María Florencia, McCandless, George, Rouillet, María Josefina
Formato:	Objeto de conferencia
Lenguaje:	Inglés
Publicado:	2004
Materias:	Ciencias Económicas JEL: C10; E31 moneda Argentina política de precios quantitative theory; inflation; money; empirical evidence; structural unit-root testing; VARs
Acceso en línea:	http://sedici.unlp.edu.ar/handle/10915/3799 http://www.depeco.econo.unlp.edu.ar/jemi/2004/trabajo11.pdf
Aporte de:	SEDICI (UNLP) de Universidad Nacional de La Plata

id	I19-R120-10915-3799
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institution	Universidad Nacional de La Plata
institution_str	I-19
repository_str	R-120
collection	SEDICI (UNLP)
language	Inglés
topic	Ciencias Económicas JEL: C10; E31 moneda Argentina política de precios quantitative theory; inflation; money; empirical evidence; structural unit-root testing; VARs
spellingShingle	Ciencias Económicas JEL: C10; E31 moneda Argentina política de precios quantitative theory; inflation; money; empirical evidence; structural unit-root testing; VARs Gabrielli, María Florencia McCandless, George Rouillet, María Josefina The intertemporal relation between money and prices: evidence from Argentina
topic_facet	Ciencias Económicas JEL: C10; E31 moneda Argentina política de precios quantitative theory; inflation; money; empirical evidence; structural unit-root testing; VARs
description	In this paper, we study the statistical relationship between money and prices in Argentina during the last quarter of the 20th century. We first look at the unit root characteristics of the series which suggest dividing the whole sample into two sub-samples: 1976 to 1989 and 1991 to 2001, as these sub-samples represent different exchange rate regimes. We then apply a filter similar to that of Lucas (1980) and find that correlations between changes in money and prices are highest when 12 month moving averages are used. In the early period, the correlation is almost one to one, while for the later period, the correlation is somewhat less and the relationship implies much smaller changes in prices for a given change in the money stock. Taking lags and leads in the moving averages of prices, we find very different temporal results for the two periods: changes in prices precede changes in money for the earlier period while changes in money precede changes in prices for the latter. These results are confirmed by Granger causality tests and VARs models. The main results of this paper are quite different from those found for developed countries. The reaction times we get are much shorter and the direction of causality (Granger) is also different.
format	Objeto de conferencia Objeto de conferencia
author	Gabrielli, María Florencia McCandless, George Rouillet, María Josefina
author_facet	Gabrielli, María Florencia McCandless, George Rouillet, María Josefina
author_sort	Gabrielli, María Florencia
title	The intertemporal relation between money and prices: evidence from Argentina
title_short	The intertemporal relation between money and prices: evidence from Argentina
title_full	The intertemporal relation between money and prices: evidence from Argentina
title_fullStr	The intertemporal relation between money and prices: evidence from Argentina
title_full_unstemmed	The intertemporal relation between money and prices: evidence from Argentina
title_sort	intertemporal relation between money and prices: evidence from argentina
publishDate	2004
url	http://sedici.unlp.edu.ar/handle/10915/3799 http://www.depeco.econo.unlp.edu.ar/jemi/2004/trabajo11.pdf
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bdutipo_str	Repositorios
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The intertemporal relation between money and prices: evidence from Argentina

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