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dc.contributor.authorScharnagl, Michaelen
dc.contributor.authorSchumacher, Christianen
dc.date.accessioned2009-01-28T16:02:00Z-
dc.date.available2009-01-28T16:02:00Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2007,09en
dc.subject.jelE37en
dc.subject.jelC52en
dc.subject.jelC11en
dc.subject.jelE31en
dc.subject.ddc330en
dc.subject.keywordinflation forecastingen
dc.subject.keywordmonetary indicatorsen
dc.subject.keywordBayesian Model Averagingen
dc.subject.keywordinclusion probabilityen
dc.subject.stwInflationsrateen
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwMonetärer Indikatoren
dc.subject.stwBayes-Statistiken
dc.subject.stwSchätzungen
dc.subject.stwTheorieen
dc.subject.stwEU-Staatenen
dc.titleReconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities-
dc.typeWorking Paperen
dc.identifier.ppn52922531Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:5573en

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