Monetary aggregates to improve early output gap estimates in the euro area: An empirical assessment

Jens Boysen-Hogrefe

No 1908, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: Output gap estimates at the current edge are subject to severe revisions. This study analyzes whether monetary aggregates can be used to improve the reliability of early output gap estimates as proposed by several theoretical models. A real-time experiment shows that real M1 can improve output gap estimates for euro area data. For many periods the cyclical component of real M1 shows good results, while a forecasting strategy based on projecting GDP series seems to be more robust and provides superior results during the Great Recession. Broader monetary aggregates provide no superior information for output gap estimates.

Keywords: output gap; real-time data; M1; M3; euro area; money cycle (search for similar items in EconPapers)
JEL-codes: E32 E37 E41 E58 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/93073/1/779442849.pdf (application/pdf)

Related works:
Journal Article: Monetary Aggregates to Improve Early Output Gap Estimates in the Euro Area: An Empirical Assessment (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:1908

Access Statistics for this paper

More papers in Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics (econstor@zbw-workspace.eu).