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

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

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 monetar...

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Veröffentlicht in:Economics letters 2005-02, Vol.86 (2), p.265-271
Hauptverfasser: Aksoy, Yunus, Piskorski, Tomasz
Format: Artikel
Sprache:eng
Schlagworte:
Currencies
Domestic currency
Economics
Forecasts
Foreign holdings
Inflation
Information value
U.S.A
US monetary aggregates
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Zusammenfassung: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.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2004.06.020