Arbeitspapier
Forecasting growth of U.S. aggregate and household-sector M2 after 2000 using economic uncertainty measures
This paper evaluates the predictive out-of-sample forecasting properties of six different economic uncertainty variables for both growth in aggregate M2 and growth in household-sector M2 in the U.S. using data between 1971m1 and 2014m12. The core contention is that economic uncertainty improves both forecast accuracy as well as direction-of-change forecasts of real money stock growth. We estimate linear ARDL models using the iterated rolling-window forecasting scheme combined with two different indicator selection procedures. Forecast accuracy is evaluated by RMSE and the Diebold-Mariano test. Direction-of-change forecasts are assessed by means of the Kuipers Score and the Pesaran-Timmermann test. The results indicate an increased relevance of certain economic uncertainty measures for forecasting growth in both real aggregate as well as real household-sector M2 since 2000.
- Language
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Englisch
- Bibliographic citation
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Series: DEP (Socioeconomics) Discussion Papers - Macroeconomics and Finance Series ; No. 2/2017
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Demand for Money
Money and Interest Rates: Forecasting and Simulation: Models and Applications
- Subject
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money demand
uncertainty
risk
multi-step forecasts
forecast comparison
- Event
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Geistige Schöpfung
- (who)
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Tarassow, Artur
- Event
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Veröffentlichung
- (who)
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Hamburg University, Department Socioeconomics
- (where)
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Hamburg
- (when)
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2017
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Tarassow, Artur
- Hamburg University, Department Socioeconomics
Time of origin
- 2017
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