A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria
A 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.
|Date of creation:||1996|
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- David E. Laidler, 1988.
"Taking Money Seriously,"
Canadian Journal of Economics,
Canadian Economics Association, vol. 21(4), pages 687-713, November.
- Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 201-12, August.
- Perron,P., 1988. "Testing For A Random Walk: A Simulation Experiment Of Power When The Simpling Interval Is Varied," Papers 336, Princeton, Department of Economics - Econometric Research Program.
- Scott Hendry, 1995. "Long-Run Demand for M1," Macroeconomics 9511001, EconWPA.
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