Premium
Testing for Common Cycles in Money, Nominal Income and Prices
Author(s) -
Hall Stephen,
Shepherd David
Publication year - 2003
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/1467-9957.71.s.5
Subject(s) - economics , inflation (cosmology) , econometrics , test (biology) , macroeconomics , physics , theoretical physics , paleontology , biology
In this paper we consider whether common cyclical dynamics can be identified in the money–inflation relationships suggested by the quantity theory of money. The analysis is based on an examination of data for the USA and the UK, using correlation methods and the more stringent common features test developed by Engle and Kozicki. We discuss the nature of the test procedures and the results from the common features test are compared with those obtained from the more traditional correlation analysis. The results of the analysis are mixed, but are generally supportive of the quantity theory.