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Forecasting broad money velocity

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  • Jung, Alexander

Abstract

This paper applies traditional approaches and mixed-data sampling (MIDAS) to explain and forecast velocity of broad money in the euro area and the United States. Our results show that despite financial innovations, over the last two decades broad money velocity followed a declining trend with one break around the start of the financial crisis in both economies. A new result is that applying mixed-frequency techniques, we find improvements in velocity forecasts for the euro area at all horizons considered (one to eight quarters ahead), whereas for the US possible gains only refer to shorter-term forecasts.

Suggested Citation

  • Jung, Alexander, 2017. "Forecasting broad money velocity," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 421-432.
    • Handle: RePEc:eee:ecofin:v:42:y:2017:i:c:p:421-432
    DOI: 10.1016/j.najef.2017.08.005
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    More about this item

    Keywords

    Money velocity; Mixed frequency; United States; Euro area;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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