US domestic currency in forecast error variance decompositions of inflation and output

被引：4
|
作者：
Aksoy, Y
Piskorski, T
机构：
[1] Univ London Birkbeck Coll, London WC1E 7HX, England
[2] NYU, Stern Sch Business, Dept Econ, New York, NY 10012 USA
来源：
ECONOMICS LETTERS | 2005年 / 86卷 / 02期
关键词：
foreign holdings; US monetary aggregates; information value; domestic currency;
D O I：
10.1016/j.econlet.2004.06.020
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We find that domestic currency, currency corrected for foreign holdings, has a substantial share in forecast error variance decomposition of US inflation. We also find that domestic currency has higher share of the forecast error variance decomposition of US real output than any other narrow monetary aggregate we consider. (C) 2004 Elsevier B.V. All rights reserved.
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页码：265 / 271
页数：7
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