Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/274608 
Year of Publication: 
2023
Series/Report no.: 
Working Paper No. 9/2023
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The effect that shocks to money growth has on inflation weakened notably after the 1980s before making a comeback after 2020. This instability implies that caution should be exercised when relating monetary aggregates to inflation.
Subjects: 
Bayesian VAR
Time-varying parameters
Stochastic volatility
Model selection
JEL: 
E31
E37
E47
E51
Document Type: 
Working Paper

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