Long Memory Processes and Chronic Inflation: Detecting Homogeneous Components in a Linear Rational Expectation Model
This paper is an empirical study of the links between monetary variables and inflation based on Cagan's equation and its rational expectations solution, when the forcing variable is a fractionally integrated process. As demonstrated by Hamilton and Whiteman, the existence of bubbles and other e...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
1994
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Schriftenreihe: | IMF Working Papers
Working Paper No. 94/2 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | This paper is an empirical study of the links between monetary variables and inflation based on Cagan's equation and its rational expectations solution, when the forcing variable is a fractionally integrated process. As demonstrated by Hamilton and Whiteman, the existence of bubbles and other extraneous influences can be detected only by verifying the difference in the order of integration between the monetary base and the price level series. This paper shows that a fractionally differenced model overcomes Evans' critique of this test and that chronic inflation is essentially a monetary phenomenon caused by fiscal imbalance |
Beschreibung: | 1 Online-Ressource (66 p) |
ISBN: | 1451841698 9781451841695 |
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spelling | Scacciavillani, Fabio Verfasser aut Long Memory Processes and Chronic Inflation Detecting Homogeneous Components in a Linear Rational Expectation Model Scacciavillani, Fabio Washington, D.C International Monetary Fund 1994 1 Online-Ressource (66 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 94/2 This paper is an empirical study of the links between monetary variables and inflation based on Cagan's equation and its rational expectations solution, when the forcing variable is a fractionally integrated process. As demonstrated by Hamilton and Whiteman, the existence of bubbles and other extraneous influences can be detected only by verifying the difference in the order of integration between the monetary base and the price level series. This paper shows that a fractionally differenced model overcomes Evans' critique of this test and that chronic inflation is essentially a monetary phenomenon caused by fiscal imbalance Online-Ausg http://elibrary.imf.org/view/IMF001/04327-9781451841695/04327-9781451841695/04327-9781451841695.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Scacciavillani, Fabio Long Memory Processes and Chronic Inflation Detecting Homogeneous Components in a Linear Rational Expectation Model |
title | Long Memory Processes and Chronic Inflation Detecting Homogeneous Components in a Linear Rational Expectation Model |
title_auth | Long Memory Processes and Chronic Inflation Detecting Homogeneous Components in a Linear Rational Expectation Model |
title_exact_search | Long Memory Processes and Chronic Inflation Detecting Homogeneous Components in a Linear Rational Expectation Model |
title_exact_search_txtP | Long Memory Processes and Chronic Inflation Detecting Homogeneous Components in a Linear Rational Expectation Model |
title_full | Long Memory Processes and Chronic Inflation Detecting Homogeneous Components in a Linear Rational Expectation Model Scacciavillani, Fabio |
title_fullStr | Long Memory Processes and Chronic Inflation Detecting Homogeneous Components in a Linear Rational Expectation Model Scacciavillani, Fabio |
title_full_unstemmed | Long Memory Processes and Chronic Inflation Detecting Homogeneous Components in a Linear Rational Expectation Model Scacciavillani, Fabio |
title_short | Long Memory Processes and Chronic Inflation |
title_sort | long memory processes and chronic inflation detecting homogeneous components in a linear rational expectation model |
title_sub | Detecting Homogeneous Components in a Linear Rational Expectation Model |
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