警惕货币增长与通货膨胀的关系（英）

A Note of Caution on the Relation between Money Growth and Inflation Helge Berger, Sune Karlsson, and Pär Österholm WP/23/137 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2023JUN © 2023 International Monetary Fund WP/23/137IMF Working Paper European Department A Note of Caution on the Relation between Money Growth and Inflation∗ Helge Berger# International Monetary Fund Free University Berlin CESifo Sune Karlsson∀ School of Business, Örebro University Pär Österholm◊ School of Business, Örebro University National Institute of Economic Research Authorized for distribution by Alfred Kammer June 2023 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 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 of money growth on inflation weakened notably after the 1980s before strengthening after 2020. There is evidence that this time variation is related to the pace of price changes, as we find that the maximum impact of money growth on inflation is increasing in the trend level of inflation. These results caution against asserting a simple, time-invariant relationship when modeling the joint dynamics of monetary aggregates and consumer prices. JEL Classification Numbers: E31, E37, E47, E51 Keywords: Bayesian VAR; Time-varying parameters; Stochastic volatility Author’s E-Mail Address: hberger@imf.org; sune.karlsson@oru.se; par.osterholm@oru.se ∗ The views expressed in this paper are those of the authors and do not necessarily represent the views of the IMF, its Executive Board or IMF management. We are grateful to Itai Agur, Saioa Armendariz, Romain Duval, Nir Klein, Jorge Canales Kriljenko, Christiane Roehler, and Vina Nguyen for helpful comments, and to Morgan Maneely for assistance with data. # International Monetary Fund, 700 19th Street NW, Washington, DC 20431, USA ∀ Örebro University, School of Business, 701 82 Örebro, Sweden ◊Örebro University, School of Business, 701 82 Örebro, Sweden WORKING PAPERS A Note of Caution on the Relation between Money Growth and Inflation Prepared by Helge Berger#, Sune Karlsson∀, and Pär Österholm◊ # International Monetary Fund, 700 19th Street NW, Washington, DC 20431, USA e-mail: hberger@imf.org ∀ Örebro University, School of Business, 701 82 Örebro, Sweden e-mail: sune.karlsson@oru.se◊Örebro University, School of Business, 701 82 Örebro, Sweden e-mail: par.osterholm@oru.se IMF WORKING PAPERS A Note of Caution on the Relation between Money Growth and Inflation INTERNATIONAL MONETARY FUND 2 Contents Introduction ......................................................................................................................................................... 3 Data and Model .................................................................................................................................................... 3 Results.......................................................................................................................................6 Conclusions ....................................................................................................................................................... 10 References ......................................................................................................................................................... 12 Appendix ............................................................................................................................................................ 14 FIGURES 1. Euro area inflation and money growth .............................................................................................................. 5 2. United States inflation and money growth ......................................................................................................... 5 3. Impulse-response function: Effect of shocks to money growth on inflation in the euro area ............................ 7 4. Impulse-response function: Effect of shocks to money growth on inflation in the United States ...................... 7 5. Impulse-response functions: Effect of shocks to money growth on inflation at different timepoints ................. 8 6. Trade inflation and maximum inflation response of shock to