Monetary Policy and Forecasts for Real GDP Growth: An Empirical Investigation for the Federal Republic of Germany

Kirchgaässner Gebhard and Savioz Marcel
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Kirchgaässner Gebhard: University of St Gallen, St. Gallen, Canton of St. Gallen, Switzerland
Savioz Marcel: Swiss National Bank, Neugasse,St. Gallen, Switzerland

German Economic Review, 2001, vol. 2, issue 4, 339-365

Abstract: Using quarterly data for the Federal Republic of Germany, we generate four-quarter-ahead forecasts for real GDP growth. Throughout the 1970s and 1980s, other monetary indicators like real M1 or short-run interest rates clearly outperform forecasts which are based on interest rate spreads. This holds for within as well as for ex-post predictions. The same holds for the development after 1992. Moreover, it is shown that simple forecasts based on M1 or on short-run interest rates outperform the common biannual GNP forecasts of the group of German economic research institutes.

Date: 2001
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DOI: 10.1111/1468-0475.00044

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