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.
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.
|Keyword(s) / Subject(s):||Foreign holdings, US monetary aggregates, information value, domestic currency|
|School:||Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics|
|Research Centre:||Applied Macroeconomics, Birkbeck Centre for|
|Depositing User:||Yunus Aksoy|
|Date Deposited:||25 Nov 2008 16:28|
|Last Modified:||06 Dec 2016 14:49|
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