Copulas and the Quantity Theory of Money

E. Weber
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Abstract

The quantity theory of money remains a cornerstone of modern macroeconomics that provides a benchmark for the long-run behaviour of macroeconomic models. The direct empirical evidence for it is, however, less conclusive than suggested by scatterplots and the exaggerated correlations between money growth and inflation that can be found in the macroeconomic literature. Copulas with upper tail dependence show a considerably weaker relationship between money growth and inflation than Pearson’s r. Even so, the quantity theory will continue to be part of macroeconomics because economics as a science is driven both by observation and by the inherent structure of the accumulated body of economic theory.
copula与货币数量理论
货币数量理论仍然是现代宏观经济学的基石,为宏观经济模型的长期行为提供了基准。然而,与散点图和宏观经济文献中货币增长与通胀之间被夸大的相关性所显示的结果相比,直接的经验证据并没有那么确凿。具有上尾依赖性的Copulas显示货币增长和通货膨胀之间的关系比Pearson的r要弱得多。即便如此,数量理论仍将继续成为宏观经济学的一部分,因为经济学作为一门科学是由观察和经济理论累积体的内在结构驱动的。
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