The severe financial crisis that grips Spain has multiple causes. One has been the massive and continued expansion of the money supply since Spain’s accession to the Eurozone, and the non-negligible effects of this expansion on asset prices as well as on the structure of the economy. We analyse the main hypotheses underlying the mainstream macroeconomic models used in recent years to explain inflation and its relation to money. We then apply an ‘unobserved component model’ to test for the cyclical relation between money growth, inflation, asset (stock and real estate) prices and real GDP in Spain from 1998 to 2013. Based on the Spanish experience, our main finding is that, even though the money supply has become endogenous within the monetary strategy developed by the US Federal Reserve and the European Central Bank in recent times, the broad money supply and asset prices have shared the same cyclical component in the latest business cycle (1998–2013).