Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/119434
Authors: 
Chen, Wenjuan
Nautz, Dieter
Year of Publication: 
2015
Series/Report no.: 
SFB 649 Discussion Paper 2015-027
Abstract: 
This paper introduces a Divisia monetary aggregate for Germany and explores its information content for the Great Recession. Divisia money and the corresponding simple sum aggregate are highly correlated in normal times but begin to diverge before the crisis. Out of sample forecast analysis and a conditional forecast exercise show that the predictive content of this divergence for the Great Recession is not only statistically significant, but also economically important.
Subjects: 
Monetary aggregates
Divisia index
recession indicator
Great Recession
JEL: 
E27
E32
E51
C43
Document Type: 
Working Paper

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