文章基本信息

标题：Money growth and inflation: a regime switching approach
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作者：Gianni Amisano ; Gabriel Fagan
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：2010
出版社：European Central Bank
摘要：We develop a time-varying transition probabilities Markov Switching model in which ination is characterised by two regimes (high and low ination). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and Canada for data from the 1960s up to the present. Our estimates suggest that a smoothed measure of broad money growth, corrected for real-time estimates of trend velocity and potential output growth, has important leading indicator properties for switches between ination regimes. Thus money growth provides an important early warning indicator for risks to price stability.
关键词：money growth; ination regimes; early warning; time varying transition probab-;ilities; Markov Switching model; Bayesian inference.