Does global liquidity help to forecast US inflation?

Antonello D'Agostino () and Paolo Surico ()

MPRA Paper from University Library of Munich, Germany

Abstract: We construct a measure of global liquidity using the growth rates of broad money for the G7 economies. Global liquidity produces forecasts of US inflation that are significantly more accurate than the forecasts based on US money growth, Phillips curve, autoregressive and moving average models. The marginal predictive power of global liquidity is strong at three years horizons. Results are robust to alternative measures of inflation.

JEL-codes: C53 C22 E37 E47 (search for similar items in EconPapers)
Date: 2007-11
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Related works:
Working Paper: Does global liquidity help to forecast US inflation? (2007)
Journal Article: Does Global Liquidity Help to Forecast U.S. Inflation? (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:6283

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