Forecasting broad money velocity

Alexander Jung

The North American Journal of Economics and Finance, 2017, vol. 42, issue C, 421-432

Abstract: This paper applies traditional approaches and mixed-data sampling (MIDAS) to explain and forecast velocity of broad money in the euro area and the United States. Our results show that despite financial innovations, over the last two decades broad money velocity followed a declining trend with one break around the start of the financial crisis in both economies. A new result is that applying mixed-frequency techniques, we find improvements in velocity forecasts for the euro area at all horizons considered (one to eight quarters ahead), whereas for the US possible gains only refer to shorter-term forecasts.

Keywords: Money velocity; Mixed frequency; United States; Euro area (search for similar items in EconPapers)
JEL-codes: C51 C53 E47 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:42:y:2017:i:c:p:421-432

DOI: 10.1016/j.najef.2017.08.005

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