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Money as an Indicator in the Euro Zone

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Author Info
Jan Gottschalk
Felipe Martinez Rico
Willem Van Zandweghe

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Abstract

This paper attempts to evaluate the information content of money for the forecast of inflation, output, investment and consumption in the euro zone. It considers M1 and M3; a number of modifications to these aggregates is also proposed to enhance their forecast performance. The evaluation employs Granger-causality tests, stability tests and historical out-of-sample forecasts. On balance the information content of money appears to be rather limited. An improvement of the forecast is confined to the real variables and to the second half of the nineties. For the first half of the nineties the forecast performance of money is generally poor.

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Publisher Info
Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 984.

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Length: 35 pages
Date of creation: May 2000
Date of revision:
Handle: RePEc:kie:kieliw:984

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Related research
Keywords: Euro-Zone; Geldmengen; Prognosen;

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Find related papers by JEL classification:
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation
E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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    Other versions:
  2. Ross Milbourne, 1988. "Disequilibrium Buffer Stock Models: A Survey," Working Papers 715, Queen's University, Department of Economics.
  3. Alberto Cabrero & Juan L. Escrivá & Emilio Muñoz & Juan Peñalosa, 1998. "The Controllability of a Monetary Aggregate in EMU," Banco de España Working Papers 9817, Banco de España.
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    Other versions:
  7. Stock, James H. & Watson, Mark W., 1989. "Interpreting the evidence on money-income causality," Journal of Econometrics, Elsevier, vol. 40(1), pages 161-181, January. [Downloadable!] (restricted)
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    Other versions:
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    Other versions:
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    Other versions:
  19. P.J.G. Vlaar & H. Schuberth, 1998. "Monetary transmission and controllability of money in Europe: a structural vector error correction approach," WO Research Memoranda (discontinued) 544, Netherlands Central Bank, Research Department.
    Other versions:
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Sergio Nicoletti Altimari, 2001. "Does money lead inflation in the euro area?," Working Paper Series 063, European Central Bank. [Downloadable!]
  2. Jan Gottschalk & Stéphanie Stolz, 2001. "The Link of the Monetary Indicator to Future Inflation in the Euro Area — A Simulation Experiment," Kiel Working Papers 1057, Kiel Institute for the World Economy. [Downloadable!]
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This page was last updated on 2009-11-24.

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