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Does Money Include Information for Output in the Euro Area?

Listed author(s):
  • Hans-Eggert Reimers

In this paper, the importance of money for the output development is analysed over the period from 1980 to 2000 for the euro area, where simple sum and Divisia monetary aggregates are used. Adapting an in-sample analysis, all real monetary aggregates help to explain the output gap of the euro area regardless of what real interest rate is used to explain the IS curve. The out-of-sample forecasting exercise presents evidence that broadly defined monetary aggregates reduce the forecast errors of the output gap in the medium term.

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File URL: http://www.sjes.ch/papers/2003-II-5.pdf
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Article provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.

Volume (Year): 139 (2003)
Issue (Month): II (June)
Pages: 231-252

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Handle: RePEc:ses:arsjes:2003-ii-5
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  9. Stracca, Livio, 2001. "Does liquidity matter? Properties of a synthetic divisia monetary aggregate in the euro area," Working Paper Series 0079, European Central Bank.
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  16. Reimers, Hans-Eggert, 2002. "Analysing Divisia Aggregates for the Euro Area," Discussion Paper Series 1: Economic Studies 2002,13, Deutsche Bundesbank, Research Centre.
  17. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
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