US Domestic Currency in Forecast Error Variance Decompositions of Inflation and Output

Posted: 21 Mar 2014

See all articles by Yunus Aksoy

Yunus Aksoy

Birkbeck University of London

Tomasz Piskorski

Columbia Business School - Finance and Economics

Date Written: March 19, 2014

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.

Keywords: Foreign holdings, US monetary aggregates, Information value, Domestic money

JEL Classification: E3, E4, E5

Suggested Citation

Aksoy, Yunus and Piskorski, Tomasz, US Domestic Currency in Forecast Error Variance Decompositions of Inflation and Output (March 19, 2014). Economics Letters, Vol. 86, 2005, Available at SSRN: https://ssrn.com/abstract=2411603

Yunus Aksoy (Contact Author)

Birkbeck University of London ( email )

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Tomasz Piskorski

Columbia Business School - Finance and Economics ( email )

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