dc.contributor.author |
Miller, Stephen M.
|
|
dc.contributor.author |
Martins, Luis Filipe
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|
dc.contributor.author |
Gupta, Rangan
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|
dc.date.accessioned |
2019-05-28T11:40:42Z |
|
dc.date.available |
2019-05-28T11:40:42Z |
|
dc.date.issued |
2019-03 |
|
dc.description.abstract |
Money-demand specifications exhibit instability, especially for long spans of data. This paper reconsiders the welfare cost of inflation for the US economy using a flexible time-varying (TV) cointegration methodology to estimate the money-demand function. We find evidence that the TV cointegration estimation provides a better fit of the actual data than a time-invariant estimation and that the throughout unitary income elasticity only exists for the log–log form over the entire sample period. Our estimate of the welfare cost of inflation for a 10% inflation rate lies in the range of 0.025–0.75% of gross domestic product (GDP) and averages 0.27%. In sum, our findings fall well within the ranges of existing studies of the welfare cost of inflation. We find that the welfare cost averages 7.4% higher during expansions than recessions for 10% inflation rate. Finally, the interest elasticity of money demand shows substantial variability over our sample period. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.librarian |
hj2019 |
en_ZA |
dc.description.uri |
https://www.cambridge.org/core/journals/macroeconomic-dynamics |
en_ZA |
dc.identifier.citation |
Miller, S.M., Martins, L.F. & Gupta, R. 2019, 'A time-varying approach of the US welfare cost of inflation', Macroeconomic Dynamics, vol. 23, no. 2, pp. 775-797. |
en_ZA |
dc.identifier.issn |
1365-1005 (print) |
|
dc.identifier.issn |
1469-8056 (online) |
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dc.identifier.other |
10.1017/S1365100517000037 |
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dc.identifier.uri |
http://hdl.handle.net/2263/69219 |
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dc.language.iso |
en |
en_ZA |
dc.publisher |
Cambridge University Press |
en_ZA |
dc.rights |
© Cambridge University Press 2017 |
en_ZA |
dc.subject |
Money demand |
en_ZA |
dc.subject |
Curvature |
en_ZA |
dc.subject |
Monetary policy |
en_ZA |
dc.subject |
Cointegration |
en_ZA |
dc.subject |
Endogenous growth (Economics) |
en_ZA |
dc.subject |
United States (US) |
en_ZA |
dc.subject |
Error correction |
en_ZA |
dc.subject |
Welfare cost of inflation |
en_ZA |
dc.subject |
Time-varying cointegration |
en_ZA |
dc.title |
A time-varying approach of the US welfare cost of inflation |
en_ZA |
dc.type |
Postprint Article |
en_ZA |