Forecasting growth of U.S. aggregate and household-sector M2 after 2000 using economic uncertainty measures

Artur Tarassow ()

No 201702, Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics

Abstract: This paper evaluates the predictive out-of-sample forecasting properties of six different economic uncertainty variables for both growth in aggregate M2 and growth in household-sector M2 in the U.S. using data between 1971m1 and 2014m12. The core contention is that economic uncertainty improves both forecast accuracy as well as direction-of-change forecasts of real money stock growth. We estimate linear ARDL models using the iterated rolling-window forecasting scheme combined with two different indicator selection procedures. Forecast accuracy is evaluated by RMSE and the Diebold-Mariano test. Direction-of-change forecasts are assessed by means of the Kuipers Score and the Pesaran-Timmermann test. The results indicate an increased relevance of certain economic uncertainty measures for forecasting growth in both real aggregate as well as real household-sector M2 since 2000.

Keywords: Money demand; uncertainty; risk; multi-step forecasts; forecast comparison (search for similar items in EconPapers)
JEL-codes: C22 E41 E47 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2017-08
New Economics Papers: this item is included in nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.wiso.uni-hamburg.de/repec/hepdoc/macppr_2_2017.pdf First version, 2017 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hep:macppr:201702

Access Statistics for this paper

More papers in Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics Contact information at EDIRC.
Bibliographic data for series maintained by Ulrich Fritsche ( this e-mail address is bad, please contact ).