Arbeitspapier
The information content of money in forecasting Euro area inflation
This paper contributes to the debate on the role of money in monetary policy by analyzing the information content of money in forecasting euro-area inflation. We compare the predictive performance within and among various classes of structural and empirical models in a consistent framework using Bayesian and other estimation techniques. We find that money contains relevant information for inflation in some model classes. Money-based New Keynesian DSGE models and VARs incorporating money perform better than their cashless counterparts. But there are also indications that the contribution of money has its limits. The marginal contribution of money to forecasting accuracy is often small, money adds little to dynamic factor models, and it worsens forecasting accuracy of partial equilibrium models. Finally, non-monetary models dominate monetary models in an all-out horserace.
- ISBN
-
3938369868
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeiträge ; No. 2008/15
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
Price Level; Inflation; Deflation
Money and Interest Rates: General
- Thema
-
Information content of money
inflation forecasting
New Keynesian model
DSGE model
P* model
Two-pillar Phillips curve
VAR model
general dynamic factor model
Bayesian estimation
Euro area
Geldpolitik
Geldtheorie
Inflation
Prognose
New-Keynesian Phillips Curve
Dynamisches Gleichgewicht
VAR-Modell
Europäische Wirtschafts- und Währungsunion
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Berger, Helge
Stavrev, Emil
- Ereignis
-
Veröffentlichung
- (wer)
-
Freie Universität Berlin, Fachbereich Wirtschaftswissenschaft
- (wo)
-
Berlin
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Berger, Helge
- Stavrev, Emil
- Freie Universität Berlin, Fachbereich Wirtschaftswissenschaft
Entstanden
- 2008
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