Arbeitspapier

Money demand and the role of monetary indicators in forecasting euro area inflation

This paper examines the stability of money demand and the forecasting performance of a broad monetary aggregate (M3) in predicting euro area inflation. Excess liquidity is measured as the difference between the actual money stock and its fundamental value, the latter determined by a money demand function. The out-of sample forecasting performance is compared to widely used alternatives, such as the term structure of interest rates. The results indicate that the evolution of M3 is still in line with money demand even in the period of the financial and economic crisis. Monetary indi-cators are useful to predict inflation, if the forecasting equations are based on measures of excess liquidity.

Sprache
Englisch

Erschienen in
Series: FIW Working Paper ; No. 119

Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
Demand for Money
Thema
Money demand
excess liquidity
inflation forecasts

Ereignis
Geistige Schöpfung
(wer)
Dreger, Christian
Wolters, Jürgen
Ereignis
Veröffentlichung
(wer)
FIW - Research Centre International Economics
(wo)
Vienna
(wann)
2013

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Dreger, Christian
  • Wolters, Jürgen
  • FIW - Research Centre International Economics

Entstanden

  • 2013

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