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A note on predicting recessions in the euro area using real M1

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Author Info

  • Jens Boysen-Hogrefe

    ()
    (Kiel Institute for the World Economy)

Abstract

Real M1 is a renowned leading indicator used to forecast real economic activity. This note provides evidence that real M1 is also a suitable recession indicator that gave a clear and early signal for the Great Recession as long as changes in money demand are controlled for.

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File URL: http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I2-P123.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 32 (2012)
Issue (Month): 2 ()
Pages: 1291-1301

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Handle: RePEc:ebl:ecbull:eb-11-00730

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Related research

Keywords: Predicting recessions; Probit; narrow money; real M1; euro area;

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References

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  1. Seitz, Franz & Brand, Claus & Reimers, Hans-Eggert, 2003. "Forecasting real GDP: what role for narrow money?," Working Paper Series 0254, European Central Bank.
  2. Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005. "Predicting real growth and the probability of recession in the Euro area using the yield spread," International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277.
  3. Marcelle Chauvet & Simon Potter, 2001. "Forecasting recessions using the yield curve," Staff Reports 134, Federal Reserve Bank of New York.
  4. Drechsel, Katja & Scheufele, Rolf, 2012. "The performance of short-term forecasts of the German economy before and during the 2008/2009 recession," International Journal of Forecasting, Elsevier, vol. 28(2), pages 428-445.
  5. Herb Taylor, 1986. "Deposit Market Deregulation and the Recent Behavior of M1," Eastern Economic Journal, Eastern Economic Association, vol. 12(3), pages 307-312, Jul-Sep.
  6. Sauer, Christine & Scheide, Joachim, 1995. "Money, interest rate spreads, and economic activity," Open Access Publications from Kiel Institute for the World Economy 1664, Kiel Institute for the World Economy (IfW).
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Cited by:
  1. Jens Boysen-Hogrefe, 2014. "Monetary aggregates to improve early output gap estimates in the euro area - an empirical assessment," Kiel Working Papers 1908, Kiel Institute for the World Economy.

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