Monetary Aggregates to Improve Early Output Gap Estimates in the Euro Area: An Empirical Assessment

被引：0
|
作者：
Boysen-Hogrefe, Jens [1 ]
机构：
[1] Kiel Inst World Econ, D-24105 Kiel, Germany
来源：
JOURNAL OF FORECASTING | 2015年 / 34卷 / 07期
关键词：
output gap; real-time data; M1; M3; euro area; money cycle; REAL-TIME; MONEY; POLICY; RELIABILITY; INFORMATION;
D O I：
10.1002/for.2347
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Output gap estimates at the current edge are subject to severe revisions. This study analyzes whether monetary aggregates can be used to improve the reliability of early output gap estimates as proposed by several theoretical models. A real-time experiment shows that real M1 can improve output gap estimates for euro area data. For many periods the cyclical component of real M1 shows good results, while a forecasting strategy based on projecting GDP series seems to be more robust and provides superior results during the Great Recession. Broader monetary aggregates provide no superior information for output gap estimates. Copyright (c) 2015 John Wiley & Sons, Ltd.
引用
收藏
页码：533 / 542
页数：10
相关论文
共 50 条
  • [21] Estimates of US monetary policy rules with allowance for changes in the output gap
    Peel, DA
    Paya, I
    Venetis, I
    [J]. APPLIED ECONOMICS LETTERS, 2004, 11 (10) : 601 - 605
  • [22] The output gap and the real interest rate gap in the euro area, 1960-2003
    Cour-Thimann, Philippine
    Pilegaard, Rasmus
    Stracca, Livio
    [J]. JOURNAL OF POLICY MODELING, 2006, 28 (07) : 775 - 790
  • [23] The natural rate of interest and the output gap in the euro area: a joint estimation
    Garnier, Julien
    Wilhelmsen, Bjorn-Roger
    [J]. EMPIRICAL ECONOMICS, 2009, 36 (02) : 297 - 319
  • [24] MONETARY POLICY SWITCHING IN THE EURO AREA AND MULTIPLE STEADY STATES: AN EMPIRICAL INVESTIGATION
    Dufrenot, Gilles
    Khayat, Guillaume A.
    [J]. MACROECONOMIC DYNAMICS, 2017, 21 (05) : 1175 - 1188
  • [25] The natural rate of interest and the output gap in the euro area: a joint estimation
    Julien Garnier
    Bjørn-Roger Wilhelmsen
    [J]. Empirical Economics, 2009, 36 : 297 - 319
  • [26] The monetary transmission in the euro area: post-1999 data assessment
    Krusec, Dejan
    [J]. APPLIED ECONOMICS LETTERS, 2009, 16 (10) : 983 - 988
  • [27] The output composition puzzle: A difference in the monetary transmission mechanism in the euro area and United States
    Angeloni, I
    Kashyap, AK
    Mojon, B
    Terlizzese, D
    [J]. JOURNAL OF MONEY CREDIT AND BANKING, 2003, 35 (06) : 1265 - 1306
  • [28] Fiscal Policy Shocks in the Euro Area and the US: An Empirical Assessment
    Burriel, Pablo
    de Castro, Francisco
    Garrote, Daniel
    Gordo, Esther
    Paredes, Joan
    Perez, Javier J.
    [J]. FISCAL STUDIES, 2010, 31 (02) : 251 - 285
  • [29] Euro Area Membership and the Probability of a Sudden Stop: An Empirical Assessment
    De Freitas, Miguel Lebre
    Nunes, Luis Catela
    Rodrigues, Madalena Sampaio
    [J]. JCMS-JOURNAL OF COMMON MARKET STUDIES, 2018, 56 (04) : 818 - 836
  • [30] Mind the gap: forecasting euro-area output gaps with machine learning
    Sofianos, Emmanouil
    Gogas, Periklis
    Papadimitriou, Theophilos
    [J]. APPLIED ECONOMICS LETTERS, 2022, 29 (19) : 1824 - 1828
12345