A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria
AbstractA vector error-correction Model (VECM) that Forecasts inflation between the current quarter and eight quarters ahead is found to privide significant leading information about inflation. The model focusses on th effects of deviations of M1 from its long-run demand but also includes, among other things, the influence of the exchange rate, a simple measure of the output gap and past prices.
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Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 96-5.
Length: 19 pages
Date of creation: 1996
Date of revision:
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INFLATION; ECONOMIC MODELS; FORECASTS;
Find related papers by JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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