A money-based indicator for deflation risk

Arbeitspapier

We employ a money-based early warning model in order to analyse the risk of a low inflation regime in the euro area, Japan and the US. The model specification allows for three different inflation regimes: Low, Medium and High inflation, while state transition probabilities vary over time as a function of monetary variables. Using Bayesian techniques, we estimate the model with data from the early 1970s up to the present. Our analysis suggests that the risks of a Low inflation regime in the euro area have been increasing in the course of the last six quarters of the sample; moreover, money growth appears to play a significant role in the assessment of such risks. Evidence for Japan and the US, on the other hand, shows that the inclusion of a monetary indicator variable does not substantially change the assessment of the risk of a Low inflation regime in either of the two countries.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: DEP (Socioeconomics) Discussion Papers - Macroeconomics and Finance Series ; No. 3/2014

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Bayesian Analysis: General ; Forecasting Models; Simulation Methods ; Price Level; Inflation; Deflation
• Thema: Money growth ; deflation ; inflation regimes ; Markov Switching models ; Bayesian inference

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Amisano, Gianni ; Colavecchio, Roberta ; Fagan, Gabriel
• Ereignis: Veröffentlichung
• (wer): Hamburg University, Department Socioeconomics
• (wo): Hamburg
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/103198
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ