The Relative Forecasting Performance of the Divisia and Simple Sum Monetary Aggregates.: An article from: Journal of Money, Credit & Banking

This digital document is an article from Journal of Money, Credit & Banking, published by Ohio State University Press on May 1, 2001. The length of the article is 4087 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the author: This paper provides direct evidence on the forecasting performance of the Divisia monetary aggregates relative to the traditional simple sum monetary aggregates. It is shown that forecasts of U.S. real GDP from a four variable vector autoregression are most accurate when a Divisia aggregate is included rather than a simple sum aggregate, particularly at broad levels of aggregation. Further, the two M1 aggregates, relative to the broader aggregates, are superior predictors of the GDP deflator, with a slight edge going to Divisia M1 over simple sum M1.

Citation Details
Title: The Relative Forecasting Performance of the Divisia and Simple Sum Monetary Aggregates.
Author: Donald L. Schunk
Publication:Journal of Money, Credit & Banking (Refereed)
Date: May 1, 2001
Publisher: Ohio State University Press
Volume: 33 Issue: 2 Page: 272

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