Does Global Liquidity Help to Forecast U.S. Inflation?

Antonello D'Agostino () and Paolo Surico ()

Journal of Money, Credit and Banking, 2009, vol. 41, issue 2-3, pages 479-489

Abstract: We construct a measure of global liquidity using the growth rates of broad money for the G7 economies. Global liquidity produces forecasts of U.S. inflation that are significantly more accurate than the forecasts based on U.S. money growth, Phillips curve, and autoregressive and moving average models. The marginal predictive power of global liquidity is strong at 3-year horizons. Results are robust to alternative measures of inflation. Copyright (c) 2009 Crown Copyright.

Date: 2009
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Related works:
Working Paper: Does global liquidity help to forecast US inflation? (2007)
Working Paper: Does global liquidity help to forecast US inflation? (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:mcb:jmoncb:v:41:y:2009:i:2-3:p:479-489

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