Does global liquidity help to forecast US inflation?

Antonello D'Agostino and Paolo Surico

No 10/RT/07, Research Technical Papers from Central Bank of Ireland

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: C22 C53 E37 E47 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2007-12
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Citations: View citations in EconPapers (10)

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https://centralbank.ie/docs/default-source/publica ... surico).pdf?sfvrsn=6 (application/pdf)

Related works:
Journal Article: Does Global Liquidity Help to Forecast U.S. Inflation? (2009)
Journal Article: Does Global Liquidity Help to Forecast U.S. Inflation? (2009)
Working Paper: Does global liquidity help to forecast US inflation? (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:cbi:wpaper:10/rt/07

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