The Information Content of Monetary Statistics for the Great Recession: Evidence from Germany
Wenjuan Chen and
Dieter Nautz ()
No SFB649DP2015-027, SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649
This paper introduces a Divisia monetary aggregate for Germany and explores its information content for the Great Recession. Divisia money and the corresponding simple sum aggregate are highly correlated in normal times but begin to diverge before the crisis. Out of sample forecast analysis and a conditional forecast exercise show that the predictive content of this divergence for the Great Recession is not only statistically significant, but also economically important.
Keywords: Monetary aggregates; Divisia index; recession indicator; Great Recession (search for similar items in EconPapers)
JEL-codes: E27 E32 E51 C43 (search for similar items in EconPapers)
Pages: 23 pages
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:hum:wpaper:sfb649dp2015-027
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