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The Relative Forecasting Performance of the Divisia and Simple Sum Monetary Aggregates

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Author Info
Schunk, Donald L
Abstract

This paper provides direct evidence on the forecasting performance of the divisia monetary aggregates relative to the traditional simple sum monetary aggregates. It is shown that forecasts of U.S. real GDP from a four variable vector autoregression (VAR) are most accurate when a divisia aggregate is used rather than a simple sum aggregate, particularly at broad levels of aggregation. Further, the two M1 aggregates, relative to the broader aggregates, are superior predictors of the GDP deflator, with a slight edge going to divisia M1 over simple sum M1.

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Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 33 (2001)
Issue (Month): 2 (May)
Pages: 272-83
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Handle: RePEc:mcb:jmoncb:v:33:y:2001:i:2:p:272-83

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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  1. William Barnett & Marcelle Chauvet, 2008. "International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200804, University of Kansas, Department of Economics, revised Sep 2008. [Downloadable!]
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  2. Barnett, William A. & Chauvet, Marcelle & Tierney, Heather L. R., 2008. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," MPRA Paper 10179, University Library of Munich, Germany. [Downloadable!]
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  3. Jane M. Binner & Peter Tino & Jonathan Tepper & Richard G. Anderson & Barry Jones & Graham Kendall, 2009. "Does money matter in inflation forecasting?," Working Papers 2009-030, Federal Reserve Bank of St. Louis. [Downloadable!]
  4. William A. Barnett & Unja Chae & John W. Keating, 2006. "The discounted economic stock of money with VAR forecasting," Computing in Economics and Finance 2006 51, Society for Computational Economics. [Downloadable!]
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  5. Alicia Gazely & Jane Binner & Graham Kendall, 2004. "Co-evolution vs. Neural Networks; An Evaluation of UK Risky Money," Computing in Economics and Finance 2004 258, Society for Computational Economics. [Downloadable!]
  6. Barnett, William A. & Chauvet, Marcelle, 2008. "The End of the Great Moderation?," MPRA Paper 11642, University Library of Munich, Germany. [Downloadable!]
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  7. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Working Papers 07-1, Bank of Canada. [Downloadable!]
  8. Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.
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