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Forecasting Inflation (and the Business Cycle?) with Monetary Aggregates

  • João Valle e Azevedo
  • Ana Pereira

We show how monetary aggregates can be usefully incorporated in forecasts of inflation. This requires fully disregarding the high-frequency fluctuations blurring the money/inflation relation, i.e., the projection of inflation onto monetary aggregates must be restricted to the low frequencies. Using the same tools, we show that money growth has (little) predictive power over output at business cycle frequencies.

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File URL: http://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201024.pdf
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Paper provided by Banco de Portugal, Economics and Research Department in its series Working Papers with number w201024.

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Date of creation: 2010
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Handle: RePEc:ptu:wpaper:w201024
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  1. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2006. "Interpreting Euro Area Inflation at High and Low Frequencies," CEPR Discussion Papers 5632, C.E.P.R. Discussion Papers.
  2. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 411-435, February.
  3. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2006. "Money at Low Frequencies," CEPR Discussion Papers 5868, C.E.P.R. Discussion Papers.
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