首页    期刊浏览 2024年12月11日 星期三
登录注册

文章基本信息

  • 标题:Forecasting real GDP: what role for narrow money?
  • 本地全文:下载
  • 作者:Claus Brand ; Hans-Eggert Reimers ; Franz Seitz
  • 期刊名称:Euro Area Balance of Payments and International Investment Position Statistics
  • 印刷版ISSN:1830-3420
  • 电子版ISSN:1830-3439
  • 出版年度:2003
  • 出版社:European Central Bank
  • 摘要:This paper analyses the information content of M1 for euro area real GDP since the beginning of the 1980s and reviews theoretical arguments on why real narrow money should help predict real GDP. We find that, unlike in the U.S., in the euro area, M1 has better and more robust forecasting properties for real GDP than yield spreads. This property persists when one controls for a number of other influences. We also evaluate the out-of-sample forecasting performance of different classes of VAR models comprising real M1, GDP and other indicators, using as benchmark a simple univariate model. As a result, only VARs in first differences are able to outperform the benchmark.
  • 关键词:Money; business cycle; forecast comparison; VAR models.
国家哲学社会科学文献中心版权所有