Does global liquidity help to forecast US inflation?

Antonello D'Agostino and Paolo Surico

MPRA Paper from University Library of Munich, Germany

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)
Date: 2007-11
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Citations: View citations in EconPapers (7)

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https://mpra.ub.uni-muenchen.de/6283/1/MPRA_paper_6283.pdf original version (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:pra:mprapa:6283

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