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Does money matter for U.S. inflation?
Berger, Helge ;  Österholm, Pär ;  Universität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft

Main titleDoes money matter for U.S. inflation?
SubtitleEvidence from Bayesian VARs
AuthorBerger, Helge
AuthorÖsterholm, Pär
InstitutionUniversität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft
No. of Pages19 S.
Series Diskussionsbeiträge des Fachbereichs Wirtschaftswissenschaft ; 2008/9 : Volkswirtschaftliche Reihe
KeywordsOut-of-Sample Forecasting, Granger Causality, Monetary Aggregates, Monetary Policy, Volcker, Greenspan
Classification (DDC)337 International economics
339 Macroeconomics and related topics
Also published in
AbstractWe use Bayesian estimation techniques to investigate whether money growth Granger-causes inflation in the United States. We test for Granger-causality out-of-sample and find, perhaps surprisingly given recent theoretical arguments, that including money growth in simple VAR models of inflation does systematically improve out-of-sample forecasting accuracy. This holds for a long forecasting sample 1960-2005, as well for more recent subperiods, including the Volcker and Greenspan eras. However, the contribution of money to inflation forecasting accuracy is quantitatively limited and tends to be smaller in recent subperiods, in particular in models that also include information on real GDP growth and interest rates.
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FU DepartmentDepartment Business and Economics
Other affiliation(s)Lehrstuhl für Geldtheorie und Geldpolitik
Year of publication2008
Type of documentBook
LanguageEnglish
Terms of use/Rights Nutzungsbedingungen
Created at2009-08-04 : 09:28:50
Last changed2014-01-23 : 04:20:10
 
Static URLhttp://edocs.fu-berlin.de/docs/receive/FUDOCS_document_000000002811
ISBN3-938369-80-9
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