Diskussionsbeiträge des Fachbereichs Wirtschaftswissenschaft ; 2008/07 : Volkswirtschaftliche Reihe
Bayesian VAR, Out-of-Sample Forecasting, Granger Causality, Money, Output, Federal Reserve, Volcker
337 International economics 339 Macroeconomics and related topics
URL des Originaldokuments
In this note, we use multivariate models estimated with Bayesian techniques and an out-ofsample approach to investigate whether money growth Granger-causes output growth in the United States. We find surprisingly strong evidence for a money-output link over the 1960-2005 period. However, further analysis indicates that this result is likely to be misleading; after the ‘Great moderation’, the Granger-causal role of money appears to have vanished completely.
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