On the Explosive Nature of Hyper-Inflation Data

Artikel

Empirical analyses of Cagan's money demand schedule for hyper-inflation have largely ignored the explosive nature of hyper-inflationary data. It is argued that this contributes to an (i) inability to model the data to the end of the hyper-inflation, and to (ii) discrepancies between 'estimated' and 'actual' inflation tax. Using data from the extreme Yugoslavian hyper-inflation it is shown that a linear analysis of levels of prices and money fails in addressing these issues even when the explosiveness is taken into account. The explanation is that log real money has random walk behaviour while the growth of log prices is explosive. A simple solution to these issues is found by replacing the conventional measure of inflation by the cost of holding money.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 2 ; Year: 2008 ; Issue: 2008-21 ; Pages: 1-29 ; Kiel: Kiel Institute for the World Economy (IfW)

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Demand for Money
• Thema: Cost of holding money ; co-explosiveness ; co-integration ; explosive processes ; hyperinflation ; Hyperinflation ; Preisstatistik ; Inflationssteuer ; Geldnachfrage ; Kosten ; Schätzung ; Theorie ; Jugoslawien - Nachfolgestaaten

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Nielsen, Bent
• Ereignis: Veröffentlichung
• (wer): Kiel Institute for the World Economy (IfW)
• (wo): Kiel
• (wann): 2008

Weitere Informationen

• DOI: doi:10.5018/economics-ejournal.ja.2008-21
• Handle: http://hdl.handle.net/10419/18034
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ