The Information Content of Money in Forecasting Euro Area Inflation / Emil Stavrev, Helge Berger.

Format:

Book

Government document

Author/Creator:

Stavrev, Emil.

Contributor:

Berger, Helge.

Series:

IMF Working Papers; Working Paper ; No. 2008/166

IMF working paper ; WP/08/166

IMF Working Papers

Language:

English

Subjects (All):

Monetary policy--Econometric models.

Monetary policy.

Money--Econometric models.

Money.

Inflation (Finance)--Forecasting--Econometric models.

Inflation (Finance).

Physical Description:

1 online resource (31 p.)

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2008.

Language Note:

English

Summary:

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.

Contents:

Contents; I. Introduction; II. Related Literature; III. Models of Inflation; A. DSGE Models; B. Partial Equilibrium Models; C. Empirical Models; IV. Empirical Methods and Data; A. Estimation Techniques; B. Prior Distribution of Parameters for the Bayesian Estimates; C. Forecasting and the Information Content of Money; D. Data; V. Results; A. The Marginal Contribution of Money; Figures; 1. Forecast Performance of DSGE Models; 2. Forecast Performance of Empirical Models; 3. Forecast Performance of P* and Phillips Curve Models; B. Comparison of Money-Based Models; C. Comparison Across All Models

Tables1. Out-of-Sample Forecasting Performance of Models; VI. Conclusions; References; Appendices; I. Empirical Specifications; II. Bayesian Priors

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF front page (ebrary, viewed February 26, 2014).

ISBN:

9786612841170

9781462313419

1462313418

9781452749082

1452749086

9781451870244

1451870248

9781282841178

1282841173

OCLC:

761928073