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US domestic currency in forecast error variance decompositions of inflation and output

Aksoy, Yunus and Piskorski, T. (2005) US domestic currency in forecast error variance decompositions of inflation and output. Economics Letters 86 (2), pp. 265-271. ISSN 0165-1765.

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Official URL: http://dx.doi.org/10.1016/j.econlet.2004.06.020

Abstract

We find that domestic currency, currency corrected for foreign holdings, has a substantial share in forecast error variance decomposition of US inflation. We also find that domestic currency has higher share of the forecast error variance decomposition of US real output than any other narrow monetary aggregate we consider.

Item Type: Article
Keyword(s) / Subject(s): Foreign holdings, US monetary aggregates, information value, domestic currency
School or Research Centre: Birkbeck Schools and Research Centres > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
Depositing User: Dr Yunus Aksoy
Date Deposited: 25 Nov 2008 16:28
Last Modified: 17 Apr 2013 12:14
URI: http://eprints.bbk.ac.uk/id/eprint/165

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