PREDICTING INFLATION: DOES THE QUANTITY THEORY HELP?

Lance Bachmeier · Norman Rasmus Swanson

41 citations0/0 files storedEconomic Inquiry

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Forecasting Techniques and Applications Economic theories and models

Abstract

Various inflation forecasting models are compared for the period 1979–2003 using a simulated out‐of‐sample forecasting framework. Our findings are (1) M2 has marginal predictive content for inflation; (2) it is necessary to allow for the possibility that money, prices, and output are cointegrated; and (3) cointegration vector parameter estimation error is important when making out‐of‐sample forecasts. Consistent with previous work, we find a structural break in the early 1990s, but the break was easily detected and would not have affected out‐of‐sample inflation forecasts. Two Monte Carlo experiments that lend credence to our findings are also reported on.(JEL E31, C32)

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 41 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1994Comparing Predictive Accuracy 1999Inflation dynamics: A structural econometric analysis 1990Inference in Linear Time Series Models with some Unit Roots 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag 1996Asymptotic Inference about Predictive Ability

Cited by

2014Nested forecast model comparisons: A new approach to testing equal accuracy 2008Does Money Growth Granger Cause Inflation in the Euro Area? Evidence from Out-of-Sample Forecasts Using Bayesian VARs*2008Excess Money Growth and Inflation Dynamics

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.