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http://hdl.handle.net/10419/19686
  

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dc.contributor.authorScharnagl, Michaelen_US
dc.contributor.authorSchumacher, Christianen_US
dc.coverage.temporal1995-2005en_US
dc.date.accessioned2009-01-28T16:02:00Z-
dc.date.available2009-01-28T16:02:00Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/19686-
dc.description.abstractThis paper addresses the relative importance of monetary indicators for forecasting inflation in the euro area in a Bayesian framework. Bayesian Model Averaging (BMA)based on predictive likelihoods provides a framework that allows for the estimation of inclusion probabilities of a particular variable, that is the probability of that variable being in the forecast model. A novel aspect of the paper is the discussion of group-wise inclusion probabilities, which helps to address the empirical question whether the group of monetary variables is relevant for forecasting euro area inflation. In our application, we consider about thirty monetary and non-monetary indicators for inflation. Using this data, BMA provides inclusion probabilities and weights for Bayesian forecast combination. The empirical results for euro area data show that monetary aggregates and non-monetary indicators together play an important role for forecasting inflation, whereas the isolated information content of both groups is limited. Forecast combination can only partly outperform single-indicator benchmark models.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2007,09en_US
dc.subject.jelE37en_US
dc.subject.jelC52en_US
dc.subject.jelC11en_US
dc.subject.jelE31en_US
dc.subject.ddc330en_US
dc.subject.keywordinflation forecastingen_US
dc.subject.keywordmonetary indicatorsen_US
dc.subject.keywordBayesian Model Averagingen_US
dc.subject.keywordinclusion probabilityen_US
dc.subject.stwInflationsrateen_US
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwMonetärer Indikatoren_US
dc.subject.stwBayes-Statistiken_US
dc.subject.stwSchätzungen_US
dc.subject.stwTheorieen_US
dc.subject.stwEU-Staatenen_US
dc.titleReconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilitiesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn52922531Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:5573-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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