  An innovative method is proposed to construct a quantile dependence system
for inflation and money growth. By considering all quantiles and leveraging a
novel notion of quantile sensitivity, the method allows the assessment of
changes in the entire distribution of a variable of interest in response to a
perturbation in another variable's quantile. The construction of this
relationship is demonstrated through a system of linear quantile regressions.
Then, the proposed framework is exploited to examine the distributional effects
of money growth on the distributions of inflation and its disaggregate measures
in the United States and the Euro area. The empirical analysis uncovers
significant impacts of the upper quantile of the money growth distribution on
the distribution of inflation and its disaggregate measures. Conversely, the
lower and median quantiles of the money growth distribution are found to have a
negligible influence. Finally, this distributional impact exhibits variation
over time in both the United States and the Euro area.
