Logo
Munich Personal RePEc Archive

Forecasting Inflation and Output Growth with Credit-Card-Augmented Divisia Monetary Aggregates

Barnett, William and Park, Sohee (2021): Forecasting Inflation and Output Growth with Credit-Card-Augmented Divisia Monetary Aggregates.

[thumbnail of MPRA_paper_110298.pdf]
Preview
PDF
MPRA_paper_110298.pdf

Download (559kB) | Preview

Abstract

This paper investigates the performance of the Credit-Card-Augmented Divisia monetary aggregates in forecasting U.S. inflation and output growth at the 12-month horizon. We compute recursive and rolling out-of-sample forecasts using an Autoregressive Distributed Lag (ADL) model based on Divisia monetary aggregates. We use the three available versions of those monetary aggregate indices, including the original Divisia aggregates, the credit card-augmented Divisia, and the credit-card-augmented Divisia inside money aggregates. The source of each is the Center for Financial Stability (CFS). We find that the smallest Root Mean Square Forecast Errors (RMSFE) are attained with the credit-card-augmented Divisia indices used as the forecast indicators. We also consider Bayesian vector autoregression (BVAR) for forecasting annual inflation and output growth.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.