Recent monetary policy and the credit card-augmented Divisia monetary aggregates

Jinan Liu, Cosmas Dery and Apostolos Serletis

Journal of Macroeconomics, 2020, vol. 64, issue C

Abstract: The main objective of this paper is to examine the information content of the credit card-augmented Divisia monetary aggregates and credit card-augmented Divisia inside monetary aggregates, recently produced by the Center for Financial Stability. We compare the inference ability of the credit card-augmented Divisia monetary aggregates and credit card-augmented Divisia inside monetary aggregates to the conventional Divisia monetary aggregates, at all levels of monetary aggregation. Using cyclical correlations analysis and Granger causality tests, we find that both the conventional Divisia monetary aggregates and the credit card-augmented Divisia monetary aggregates are informative in predicting output. Moreover, during, and in the aftermath of the 2007–2009 financial crisis, the credit card-augmented Divisia measures of money are more informative when predicting real economic activity than the conventional Divisia monetary aggregates. We also find that broad Divisia monetary aggregates provide better measures of the flow of monetary services generated in the economy.

Keywords: Money and business cycles; Divisia monetary aggregates; Credit card-augmented Divisia monetary aggregates (search for similar items in EconPapers)
JEL-codes: E31 E32 E4 E51 E52 E58 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:64:y:2020:i:c:s0164070419304513

DOI: 10.1016/j.jmacro.2020.103203

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