Munich Personal RePEc Archive

The long-run relationship between money and prices in Mexico: 1969-2010.

Gomez-Ruano, Gerardo (2014): The long-run relationship between money and prices in Mexico: 1969-2010.

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Abstract

This paper performs a spectral analysis (univariate and bivariate) of monthly series of growth in money (a narrow and a broad aggregate) and in prices for Mexico. This analysis allows the identification of the most important frequencies for each series, as well as of some measures of association between the series, at different frequencies. In particular, zero frequency measures, typically used for identifying the long-run relationship between money and prices, are obtained. In addition to the analysis of the entire series (1969-2010), a rolling sample analysis for the zero frequency is also carried out to allow for changes in the long-run relationships.

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