Money Matters
(2024) NEKN01 20241Department of Economics
- Abstract
- This thesis investigates the time-varying relationship between inflation and money supply using a state space model. We use an extensive dataset with data over the years 1870-2023 and analyze the countries Sweden, the United States, and the United Kingdom. The results show that the link between money supply and inflation seems to depend on the underlying inflationary and monetary regime. During periods of higher inflation and unstable economic conditions, the link is stronger. Furthermore, we find a positive and increasing relationship between money supply and housing prices. During periods when the link between CPI and money supply is at histori- cally weak levels, the link between money supply and housing prices is at historically strong... (More)
- This thesis investigates the time-varying relationship between inflation and money supply using a state space model. We use an extensive dataset with data over the years 1870-2023 and analyze the countries Sweden, the United States, and the United Kingdom. The results show that the link between money supply and inflation seems to depend on the underlying inflationary and monetary regime. During periods of higher inflation and unstable economic conditions, the link is stronger. Furthermore, we find a positive and increasing relationship between money supply and housing prices. During periods when the link between CPI and money supply is at histori- cally weak levels, the link between money supply and housing prices is at historically strong levels. Money growth may thus manifest in asset price inflation. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9170466
- author
- Åkesson, Nelly LU and Karlberg, Truls
- supervisor
- organization
- alternative title
- A time varying State Space approach to the relationship between inflation and money supply
- course
- NEKN01 20241
- year
- 2024
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Monetary policy, inflation, state space model, asset price inflation, inflationary regime, quantity theory of money
- language
- English
- id
- 9170466
- date added to LUP
- 2024-10-01 13:10:32
- date last changed
- 2024-10-01 13:10:32
@misc{9170466, abstract = {{This thesis investigates the time-varying relationship between inflation and money supply using a state space model. We use an extensive dataset with data over the years 1870-2023 and analyze the countries Sweden, the United States, and the United Kingdom. The results show that the link between money supply and inflation seems to depend on the underlying inflationary and monetary regime. During periods of higher inflation and unstable economic conditions, the link is stronger. Furthermore, we find a positive and increasing relationship between money supply and housing prices. During periods when the link between CPI and money supply is at histori- cally weak levels, the link between money supply and housing prices is at historically strong levels. Money growth may thus manifest in asset price inflation.}}, author = {{Åkesson, Nelly and Karlberg, Truls}}, language = {{eng}}, note = {{Student Paper}}, title = {{Money Matters}}, year = {{2024}}, }