Does money still matter for U.S. output?
AbstractIn this note, we use an out-of-sample approach to investigate whether money growth Granger-causes output growth in the United States. We find that after the 'Great moderation,' the Granger-causal role of money appears to have vanished completely.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 102 (2009)
Issue (Month): 3 (March)
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Web page: http://www.elsevier.com/locate/ecolet
Bayesian VAR Out-of-sample forecasting Granger causality Federal Reserve Volcker;
Other versions of this item:
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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