| |
|
|
|
|
|
|
|
1. |
Record Nr. |
UNINA9910788233803321 |
|
|
Autore |
Stavrev Emil |
|
|
Titolo |
The Information Content of Money in Forecasting Euro Area Inflation / / Emil Stavrev, Helge Berger |
|
|
|
|
|
|
|
Pubbl/distr/stampa |
|
|
Washington, D.C. : , : International Monetary Fund, , 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) |
|
|
|
|
|
|
Disciplina |
|
|
|
|
|
|
Soggetti |
|
Monetary policy - Econometric models |
Money - Econometric models |
Inflation (Finance) - Forecasting - Econometric models |
Econometrics |
Inflation |
Money and Monetary Policy |
Forecasting |
Forecasting and Other Model Applications |
Price Level |
Deflation |
Computable and Other Applied General Equilibrium Models |
Classification Methods |
Cluster Analysis |
Principal Components |
Factor Models |
Demand for Money |
Economic Forecasting |
Macroeconomics |
Econometrics & economic statistics |
Monetary economics |
Economic forecasting |
Dynamic stochastic general equilibrium models |
Factor models |
Demand for money |
Prices |
|
|
|
|
|
|
|
|
|
|
|
|
Econometric models |
Money |
New Zealand |
|
|
|
|
|
|
Lingua di pubblicazione |
|
|
|
|
|
|
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 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. |
|
|
|
|
|
|
|
| |