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Does Money Granger Cause Inflation in the Euro Area?: Evidence from Out-of-Sample Forecasts Using Bayesian VARs
International Monetary Fund, Washington DC, USA; Free University Berlin, Berlin, Germany.
National Institute of Economic Research, Stockholm, Sweden.ORCID iD: 0000-0002-4840-7649
2011 (English)In: The Economic Record, ISSN 0013-0249, E-ISSN 1475-4932, Vol. 87, no 276, p. 45-60Article in journal (Refereed) Published
Abstract [en]

We use Bayesian estimation techniques to assess whether money growth Grangercauses 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
Wiley-Blackwell, 2011. Vol. 87, no 276, p. 45-60
Keywords [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-61614DOI: 10.1111/j.1475-4932.2010.00657.xISI: 000287527500004Scopus ID: 2-s2.0-79951739580OAI: oai:DiVA.org:oru-61614DiVA, id: diva2:1150097
Available from: 2017-10-17 Created: 2017-10-17 Last updated: 2018-05-08Bibliographically approved

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Österholm, Pär

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