US Domestic Currency in Forecast Error Variance Decompositions of Inflation and Output
Posted: 21 Mar 2014
Date Written: March 19, 2014
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: Suggested Citation