Does global liquidity help to forecast US inflation?

We construct a measure of global liquidity using the growth rates of broad money for the G7 economies. Global liquidity produces forecasts of US inflation that are significantly more accurate than the forecasts based on US money growth, Phillips curve, autoregressive and moving average models. The marginal predictive power of global liquidity is strong at three years horizons. Results are robust to alternative measures of inflation.

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Year of publication:	2007-12
Authors:	D'Agostino, Antonello ; Surico, Paolo
Institutions:	Central Bank of Ireland

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Extent:	application/pdf
Series:	Research Technical Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 10/RT/07 15 pages
Classification:	C53 - Forecasting and Other Model Applications ; C22 - Time-Series Models ; E37 - Forecasting and Simulation ; E47 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005811719