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- W3129901985 abstract "This paper investigates whether the use of broader Divisia monetary aggregates improves money’s performance in forecasting economic activity within a time-varying parameter vector autoregressive (TVP-VAR) framework. We evaluate entire predictive densities from several alternative models of US output growth and inflation, each using eight different Divisia monetary aggregates. Using the broadest, M4 aggregate produces out-of-sample forecasts which consistently outperform those based on narrower measures of money, pooling of forecasts from several models, and a large-scale, 143-variable model. Our results show that TVP-VARs with Divisia M4 forecast economic activity more accurately than constant-parameter models with alternative or no measures of money." @default.
- W3129901985 created "2021-03-01" @default.
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- W3129901985 date "2021-01-01" @default.
- W3129901985 modified "2023-09-26" @default.
- W3129901985 title "Is Broader Better? A Monetary Approach to Forecasting Economic Activity" @default.
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- W3129901985 doi "https://doi.org/10.2139/ssrn.3779134" @default.
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