This paper provides the most fully comprehensive evidence to date on whether or not monetary aggregates are valuable for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money, including different methods of aggregation and different...

Data on the monetary aggregates are the fundamental raw material for research in many facets of economics and finance. Money demand modeling, measurement of money stock announcement effects, tests of the rationality of preliminary money stock forecasts and financial market efficiency, and...

In the Full-Scale Optimization approach the complete empirical financial return probability distribution is considered; and the utility maximizing solution is found through numerical optimization. Using a portfolio choice setting of three UK equity indices we identify several utility functions...

Money demand models overpredicted M2 growth in the United States from 1990 to 1993. We examine this overprediction using a model of household demand for liquid wealth. The model is a dynamic generalization of the almost-ideal demand model of Deaton and Muellbauer (1980). We find that the...

Since January 1994, many banks in the United States have initiated retail-deposit sweep programs which reduce statutory reserve requirements by re-labeling transaction deposits as money market deposit accounts. As a result, approximately half of aggregate transaction deposits are now excluded...

It's not the latest jump in oil prices that takes a toll on the economy but the uncertainty over what will happen in the future. But getting a handle on such uncertainty is a difficult task.

Central bankers believe that low inflation and long-term economic growth go hand in hand. The evidence about the costs of inflation, however, is not as clear-cut.

Portfolio choice by full-scale optimization applies the empirical return distribution to a parameterized utility function, and the maximum is found through numerical optimization. Using a portfolio choice setting of three UK equity indices we identify several utility functions featuring loss...