A Modified P*-Model of Inflation Based on M1
This paper examines the performance of M1 in an indicator model of inflation over time horizons as long as 16 quarters into the future. The central conclusion of the paper is that, in addtion to the output gap, the cumulative growth of M1 and the deviations of M1 from its long-run path provide "distant-early-warning" information about the future path of inflation.
|Date of creation:||1996|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 613 782-8845
Fax: 613 782-8874
Web page: http://www.bank-banque-canada.ca/
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.:
- David E. Laidler, 1988.
"Taking Money Seriously,"
Canadian Journal of Economics,
Canadian Economics Association, vol. 21(4), pages 687-713, November.
- John A. Tatom, 1990. "The P-star approach to the link between money and prices," Working Papers 1990-008, Federal Reserve Bank of St. Louis.
- Zsolt Becsi & John V. Duca, 1994.
"Adding bond funds to M2 in the P-star model of inflation,"
9401, Federal Reserve Bank of Dallas.
- Becsi, Zsolt & Duca, John V., 1994. "Adding bond funds to M2 in the P-Star model of inflation," Economics Letters, Elsevier, vol. 46(2), pages 143-147, October.
- Liam P. Ebrill & Steven M. Fries, 1991. "Broad Money Growth and Inflation in the United States," IMF Staff Papers, Palgrave Macmillan, vol. 38(4), pages 736-750, December.
- Joseph Atta-Mensah, 1996. "The Empirical Performance of Alternative Monetary and Liquidity Aggregates," Macroeconomics 9601001, EconWPA.
- Jeffrey J. Hallman & Richard D. Porter & David H. Small, 1989. "M2 per unit of potential GNP as an anchor for the price level," Staff Studies 157, Board of Governors of the Federal Reserve System (U.S.).
- Scott Hendry, 1995. "Long-Run Demand for M1," Macroeconomics 9511001, EconWPA.
- Kenneth N. Kuttner, 1990. "Inflation and the growth rate of money," Economic Perspectives, Federal Reserve Bank of Chicago, issue Jan, pages 2-11.
- R.A. Pecchenino & Robert H. Rasche, 1990.
"P* Type Models: Evaluation and Forecasts,"
NBER Working Papers
3406, National Bureau of Economic Research, Inc.
- Milbourne, Ross D, 1987. "Re-examining the Buffer-Stock Model of Money," Economic Journal, Royal Economic Society, vol. 97(388a), pages 130-42, Supplemen.
- Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
- Chong, Yock Y & Hendry, David F, 1986. "Econometric Evaluation of Linear Macro-Economic Models," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 671-90, August.
- Armour, J. & Atta-Mensah, J. & Engert, W. & Hendry, S., 1996. "A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria," Working Papers 96-5, Bank of Canada.
- Hallman, Jeffrey J & Porter, Richard D & Small, David H, 1991. "Is the Price Level Tied to the M2 Monetary Aggregate in the Long Run?," American Economic Review, American Economic Association, vol. 81(4), pages 841-58, September.
When requesting a correction, please mention this item's handle: RePEc:bca:bocawp:96-15. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.