Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/28082 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Diskussionsbeiträge No. 2008/15
Verlag: 
Freie Universität Berlin, Fachbereich Wirtschaftswissenschaft, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Information content of money
inflation forecasting
New Keynesian model
DSGE model
P* model
Two-pillar Phillips curve
VAR model
general dynamic factor model
Bayesian estimation
Euro area
JEL: 
C11
C30
E31
E40
ISBN: 
3938369868
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
656.86 kB





Publikationen in EconStor sind urheberrechtlich geschützt.