The information content of money in forecasting euro area inflation

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040 ⊔ ⊔ ‡aDJB ‡cDJB
090 ⊔ ⊔ ‡aHG3881.5.I58 ‡bW67 no.08/166
100 1 ⊔ ‡aBerger, Helge.
245 1 4 ‡aThe information content of money in forecasting euro area inflation / ‡cprepared by Helge Berger and Emil Stavrev.
260 ⊔ ⊔ ‡aWashington, D.C. : ‡bInternational Monetary Fund, European Dept., ‡c2008.
300 ⊔ ⊔ ‡a29 p. : ‡bill. ; ‡c28 cm.
490 ⊔ 0 ‡aIMF working paper ; ‡vWP/08/166
500 ⊔ ⊔ ‡a"July 2008."
504 ⊔ ⊔ ‡aIncludes bibliographical references (p. 20-22).
520 3 ⊔ ‡aThis 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 horse race.
530 ⊔ ⊔ ‡aAlso available on the World Wide Web.
538 ⊔ ⊔ ‡aMode of access: Internet.
650 ⊔ 0 ‡aInflation (Finance) ‡xForecasting ‡xEconometric models.
650 ⊔ 0 ‡aMoney ‡xEconometric models.
650 ⊔ 0 ‡aMonetary policy ‡xEconometric models.
700 1 ⊔ ‡aDecressin, Jörg.
710 2 ⊔ ‡aInternational Monetary Fund. ‡bEuropean Dept.
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