Does global liquidity help to forecast U.S. inflation?
Journal
Journal of Money, Credit, and Banking
Subject
Economics
Publishing details
Authors / Editors
D'Agostino A;Surico P
Biographies
Publication Year
2009
Abstract
We construct a measure of global liquidity using the growth rates of broad money for the G7 economies. Global liquidity produces forecasts of U.S. inflation that are significantly more accurate than the forecasts based on U.S. money growth, Phillips curve, and autoregressive and moving average models. The marginal predictive power of global liquidity is strong at 3-year horizons. Results are robust to alternative measures of inflation.
Keywords
Predictive accuracy; Global liquidity; Money growth; Inflation
Available on ECCH
No
