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Does Money matter for U.S. Inflation?: Evidence from Bayesian VARs
International Monetary Fund, Washington DC, USA.
Sveriges riksbank, Stockholm, Sweden.ORCID iD: 0000-0002-4840-7649
2011 (English)In: CESifo Economic Studies, ISSN 1610-241X, E-ISSN 1612-7501, Vol. 57, no 3, 531-550 p.Article in journal (Refereed) Published
Abstract [en]

We use Bayesian estimation techniques to assess whether money growth Granger causes inflation in the USA. We investigate the issue of Granger-causality out-of-sample and find that including money growth in simple VAR models of inflation does systematically improve out-of-sample forecasting accuracy. This holds for a long forecasting sample 1960–2005, as well for more recent subperiods, including the Volcker and Greenspan eras. However, the contribution of money to inflation forecasting accuracy is quantitatively limited and tends to be close to negligible in recent subperiods.

Place, publisher, year, edition, pages
Oxford University Press, 2011. Vol. 57, no 3, 531-550 p.
Keyword [en]
Out-of-sample forecasting, Granger causality, Monetary aggregates, Monetary policy, Volcker, Greenspan
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:oru:diva-58346DOI: 10.1093/cesifo/ifr001ISI: 000294360600006Scopus ID: 2-s2.0-80052247337OAI: oai:DiVA.org:oru-58346DiVA: diva2:1116955
Available from: 2017-06-28 Created: 2017-06-28 Last updated: 2017-07-25Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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