Kiel Working Papers, Kiel Institute for World Economics
No 984:
Money as an Indicator in the Euro Zone
Jan Gottschalk, Felipe Martinez Rico and Willem Van Zandweghe
Abstract: This paper attempts to evaluate the information content of
money for the forecast of inflation, output, investment and consumption in
the euro zone. It considers M1 and M3; a number of modifications to these
aggregates is also proposed to enhance their forecast performance. The
evaluation employs Granger-causality tests, stability tests and historical
out-of-sample forecasts. On balance the information content of money
appears to be rather limited. An improvement of the forecast is confined to
the real variables and to the second half of the nineties. For the first
half of the nineties the forecast performance of money is generally
poor.
Keywords: Euro-Zone, Geldmengen, Prognosen; (follow links to similar papers)
JEL-Codes: E37; E50; (follow links to similar papers)
35 pages, May 2000
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