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        A Monetary System of Equations with Inflationary Expectations for the USA

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        S109.pdf (PDF, 132Kb)
        Author
        Bywaters, D.
        Thomas, D.G.
        Attention
        2299/3446
        Abstract
        The paper is an empirical investigation that places Livingston’s expectations of the Consumer Price Index (CPI) with the rate of inflation centre stage in a monetary system of equations with real money balances, output, employment, Federal Government debt and interest rates. The modelling approach is a Vector Auto- Regressions (VARs) scheme employing quarterly, observational data sets from U.S.A, spanning the period of 1959 to 2007. One of the important tasks is to find stationary processes for the CPI and the price expectations, which entails explaining the second-differences within the error-corrections, and using first-differences in the formation of co-integrating vectors, because the agents view them as levels in the long-run.
        Publication date
        2009
        Other links
        http://hdl.handle.net/2299/3446
        Relations
        Hertfordshire Business School
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