Estimation of the Length of Long-Run in Different Economies: Using Time Series Filters

Assuming that in long-run, money is the main determinant of price level, we can state that long-run is a period in which money and prices are highly correlated. Given this assumption, we have calculated the length of the long-run periods of different economies by using Christiano-Fitzherald (2003) Filter. The results show that we cannot consider the same period as long-run for different economies. We have calculated the length of this period for different economies. These periods are longer for economies facing more supply shocks.