Money supply and inflation dynamics in the Asia-Pacific economies : a time-frequency approach
Title: Money supply and inflation dynamics in the Asia-Pacific economies : a time-frequency approach
Citation: Studies in nonlinear dynamics & econometrics, 2017, Vol. 21, No. 3, OnlineOnly
We examine the relationship between money supply growth and inflation in 3 Asian Economies which are India, Malaysia and Japan using a time-frequency approach. The application of a unified multi-scale analysis allows us to provide a continuous assessment of the link between money supply growth and inflation, unlike most of the existing literature studying this relationship. We also employ a bivariate frequency-domain causality test to determine the nature and direction of interdependence between money supply growth and inflation dynamics. Our findings provide a better understanding of their lead-lag linkages and causal relationship in the selected countries of the Asia-Pacific region.
Subject: Monetary policy; Wavelet analysis; Nonlinear causality; C40; E3; E4; E50
First published online: 5 April 2017
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