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| Author: | Trecroci, C. Vega, J. L. |
| Title: | The information content of M3 for future inflation in the euro area |
| Journal: | Weltwirtschaftliches Archiv
2002 : VOL. 138:1, p. 22-53 |
| Index terms: | INFORMATION ANALYTICAL REVIEW INFLATION EURO EUROPEAN UNION |
| Language: | eng |
| Abstract: | First, in Section II the leading indicator properties of broad money M3 were analyzed by conducting tests that money does not Granger-cause prices in the context of a cointegrated VAR system that has recently been proposed to investigate money demand in the euro area. The main finding is that there appears to be little empirical support for rejecting at standard confidence levels. Granger non- causality of m on p within the information set employed therein. The authors further investigated in Section III the leading indicator properties of broad money M3 by looking at the recent claim that - in the context of a P-star model - the real money gap i.e., the gap between current real balances and long-run equilibrium real balances has substantial predictive power for future inflation in the euro area. |
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