Director, Financial Risk Management at TIAA
Institutional Affiliation: TIAA
NBER Working Papers and Publications
|September 1980||The Timing of Monetary and Price Changes and the International Transmission of Inflation|
with : w0549
This paper presents a theoretical and empirical investigation into timing relationships between variables within and across industrialized countries. In the analysis we highlight the two polar cases of completely closed and open economies and draw some implications for timing between monetary expansion and inflation, inter-country comparisons of inflation rates and interest rates, and comparisons of central bank behavior. The Granger-causality test is applied in a bivariate fashion to these groups of variables. The main empirical results of our analysis are: (1) Domestic monetary expansion appears to lead inflation in the sense that money Granger-causes prices without feedback, contradicting an implication of the monetary approach to the balance of payments. (2) Hardly any significant timi...
Published: Journal of Monetary Economics, Vol. 10, no. 1 (1982): 1-24. citation courtesy of