1.

Record Nr.

UNINA9910463618503321

Autore

Berger Helge

Titolo

The information content of money in forecasting euro area inflation / / Helge Berger and Emil Stavrev ; authorized for distribution by Jörg Decressin

Pubbl/distr/stampa

[Washington, District of Columbia] : , : International Monetary Fund, , 2008

©2008

ISBN

1-4623-1341-8

1-4527-4908-6

1-4518-7024-8

1-282-84117-3

9786612841170

Descrizione fisica

1 online resource (31 p.)

Collana

IMF Working Papers

IMF working paper ; ; WP/08/166

Altri autori (Persone)

StavrevEmil

DecressinJörg

Disciplina

332.46

Soggetti

Monetary policy - Econometric models

Money - Econometric models

Inflation (Finance) - Forecasting - Econometric models

Electronic books.

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

Description based upon print version of record.

Nota di bibliografia

Includes bibliographical references.

Nota di contenuto

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

Sommario/riassunto

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 mon