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Does Money Granger Cause Inflation in the Euro Area?

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Abstract
In this paper we re-evaluate the empirical evidence on money-inflation Granger causality for the euro area and, in contrast to Trecroci and Vega (2000), conclude that money does in fact Granger cause inflation. We also show that it takes about a year and a half for changes in money growth to start passing on to inflation and five years for the whole adjustment to take place

Suggested Citation

  • Joaquim Pina, 2002. "Does Money Granger Cause Inflation in the Euro Area?," Working Papers w200212, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:wpaper:w200212
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    1. Toda, Hiro Y & Phillips, Peter C B, 1993. "Vector Autoregressions and Causality," Econometrica, Econometric Society, vol. 61(6), pages 1367-1393, November.
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    11. Joaquim Pina, 2002. "Does Money Granger Cause Inflation in the Euro Area?," Working Papers w200212, Banco de Portugal, Economics and Research Department.
    12. Johansen, Soren, 1992. "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June.
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    Cited by:

    1. Hall, Stephen G. & Hondroyiannis, George & Swamy, P.A.V.B. & Tavlas, George S., 2009. "Assessing the causal relationship between euro-area money and prices in a time-varying environment," Economic Modelling, Elsevier, vol. 26(4), pages 760-766, July.
    2. Joaquim Pina, 2002. "Does Money Granger Cause Inflation in the Euro Area?," Working Papers w200212, Banco de Portugal, Economics and Research Department.

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