IDEAS home Printed from https://ideas.repec.org/a/taf/intecj/v18y2004i1p103-118.html
   My bibliography  Save this article

Direct and indirect forecasting of the money multiplier and velocity of circulation in the United Kingdom

Author

Listed:
  • Imad Moosa
  • Jae Kim

Abstract

This paper compares the direct and indirect methods of predicting the money multiplier and velocity of circulation in the UK economy. Forecasts are generated using the autoregressive (AR) model and Harvey's structural time series model. In addition to point forecasts, prediction intervals (calculated by using the recently proposed bootstrap-after-bootstrap) are used for comparing forecasting accuracy. The results turn out to be mixed but the overall evidence seems to be in favour of the direct method. It is suggested that this may be due to the pooling of time series (as implied by the definition), which reduces the noise associated with individual time series.

Suggested Citation

  • Imad Moosa & Jae Kim, 2004. "Direct and indirect forecasting of the money multiplier and velocity of circulation in the United Kingdom," International Economic Journal, Taylor & Francis Journals, vol. 18(1), pages 103-118.
    • Handle: RePEc:taf:intecj:v:18:y:2004:i:1:p:103-118
    DOI: 10.1080/1351161042000180665
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/1351161042000180665
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1351161042000180665?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Rik Hafer & Scott E. Hein & Clemens J. M. Kool, 1983. "Forecasting the money multiplier: implications for money stock control and economic activity," Review, Federal Reserve Bank of St. Louis, vol. 65(Oct), pages 22-33.
    2. Kim, Jae H, 2001. "Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 117-128, January.
    3. Christopher T. Babb & Albert E. Burger & Lionel Kalish, 1971. "Money stock control and its implications for monetary policy," Review, Federal Reserve Bank of St. Louis, vol. 53(Oct), pages 6-22.
    4. Johannes, James M. & Rasche, Robert H., 1979. "Predicting the money multiplier," Journal of Monetary Economics, Elsevier, vol. 5(3), pages 301-325, July.
    5. Harvey, Andrew, 1997. "Trends, Cycles and Autoregressions," Economic Journal, Royal Economic Society, vol. 107(440), pages 192-201, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ngomba Bodi, Francis Ghislain & Onomo, Julie, 2018. "Analyse du multiplicateur monétaire en zone CEMAC [Money multiplier analysis in CEMAC subregion]," MPRA Paper 116431, University Library of Munich, Germany.
    2. Hénock Katuala Muanza, 2020. "Stability and predictability of the monetary multiplier in the Democratic Republic of the Congo [Stabilité et prédictibilité du multiplicateur monétaire en République démocratique du Congo ]," Working Papers hal-02610767, HAL.
    3. Hénock Muanza Katuala, 2020. "Monetary Policy, Monetary Stability And Economic Growth In The Democratic Republic Of Congo [Politique Monetaire, Stabilite Monetaire Et Croissance Economique En Republique Democratique Du Congo]," Working Papers hal-02616124, HAL.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Goodhart, Charles, 1989. "The Conduct of Monetary Policy," Economic Journal, Royal Economic Society, vol. 99(396), pages 293-346, June.
    2. Michelle R. Garfinkel & Daniel L. Thornton, 1991. "The multiplier approach to the money supply process: a precautionary note," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 47-64.
    3. Krämer, Jörg W., 1994. "Lassen sich zinsgewichtete Geldmengen besser steuern als gewöhnliche Geldmengen?," Kiel Working Papers 657, Kiel Institute for the World Economy (IfW Kiel).
    4. Jürgen Hagen, 1988. "Alternative operating regimes for money stock control in West Germany: An empirical evaluation," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 124(1), pages 89-107, March.
    5. Joël Cariolle & Michaël Goujon, 2015. "Measuring Macroeconomic Instability: A Critical Survey Illustrated With Exports Series," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 1-26, February.
    6. Scheide, Joachim, 1992. "Keine Alternative zu Geldmengenzielen: zur Debatte um die deutsche Geldpolitik," Kiel Working Papers 546, Kiel Institute for the World Economy (IfW Kiel).
    7. R. Barrell & D. Karim & C. Macchiarelli, 2020. "Towards an understanding of credit cycles: do all credit booms cause crises?," The European Journal of Finance, Taylor & Francis Journals, vol. 26(10), pages 978-993, July.
    8. Terence C. Mills, 2004. "Time Series Modelling of Trends in Northern Hemispheric Average Temperature Series," Energy & Environment, , vol. 15(5), pages 743-753, September.
    9. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
    10. Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2019. "Long-term swings and seasonality in energy markets," European Journal of Operational Research, Elsevier, vol. 279(3), pages 1011-1023.
    11. Liu, Shen & Maharaj, Elizabeth Ann & Inder, Brett, 2014. "Polarization of forecast densities: A new approach to time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 345-361.
    12. Hall, Viv B & Thomson, Peter, 2022. "A boosted HP filter for business cycle analysis: evidence from New Zealand’s small open economy," Working Paper Series 9473, Victoria University of Wellington, School of Economics and Finance.
    13. Rik Hafer & Scott E. Hein & Clemens J. M. Kool, 1985. "Comparing Multi-State Kalman Filter and ARIMA forecasts: an application to the money multiplier," Working Papers 1985-001, Federal Reserve Bank of St. Louis.
    14. Anna Staszewska-Bystrova & Peter Winker, 2016. "Improved bootstrap prediction intervals for SETAR models," Statistical Papers, Springer, vol. 57(1), pages 89-98, March.
    15. Dilaver, Zafer & Hunt, Lester C, 2011. "Modelling and forecasting Turkish residential electricity demand," Energy Policy, Elsevier, vol. 39(6), pages 3117-3127, June.
    16. Lee, Yun Shin & Scholtes, Stefan, 2014. "Empirical prediction intervals revisited," International Journal of Forecasting, Elsevier, vol. 30(2), pages 217-234.
    17. Aaron Smith, 2005. "Forecasting in the presence of level shifts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 557-574.
    18. Dmitry I. Malakhov & Nikolay P. Pilnik & Igor G. Pospelov, 2015. "Stability of Distribution of Relative Sizes of Banks as an Argument for the Use of the Representative Agent Concept," HSE Working papers WP BRP 116/EC/2015, National Research University Higher School of Economics.
    19. Ishmael Ackah, 2014. "Determinants of natural gas demand in Ghana," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 38(3), pages 272-295, September.
    20. Suzanne McCoskey & Chihwa Kao, 1997. "A Monte Carlo Comparison of Tests for Cointegration in Panel Data," Econometrics 9712002, University Library of Munich, Germany.

    More about this item

    Keywords

    JEL Classification: E5; Autoregressive model; bootstrap; Harvey's Structural Time Series Model;
    All these keywords.

    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:intecj:v:18:y:2004:i:1:p:103-118. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RIEJ20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.