Is Money Informative?: Evidence from a Large Model Used for Policy Analysis |
Common terms and phrases
aggregate demand ahead forecast Altissimo approach assess the information assume assumption Banca d'Italia Bank deposit rate bank interest rates Bank lending rate Bank of Italy behaviour of money business cycle coefficients content of money cost-push shock covariance matrix credit aggregates credit variables CRISTADORO Currency current-period Dependent variable Dotsey dynamic econometric endogenous variables euro area European Central Bank exogenous experiment F-test R2 financial variables forecast error variance forecast horizon forward-looking GDP deflator inflation forecasts information contained information content information lag information set Italian economy Kalman filter l-step ahead monetary aggregates monetary and credit monetary and financial monetary data monetary indicators monetary policy monetary surprises monetary variables nominal GDP obtained optimal P₁ parameters policymaker previous-period quarterly model real GDP recursive equation reduced-form regression revision simulations structural disturbances structural models structural shocks target transition equation transmission mechanism uncertainty unobserved state variables update vector velocity shocks ZP-Z ΣΥ