Do money and financial variables help forecasting output in emerging European Economies?
Tóm tắt
Whether including monetary aggregates and different financial variables into small scale BVAR models improves the accuracy of output forecasts is tested for three emerging European economies. Various specifications for the priors of the BVAR models are used. The results are found to vary with respect to prior specification, variables, as well as prediction horizon. The evidence is stronger when the forecasting accuracy is compared based on log predictive likelihood but weaker when the RMSEs are used. These results may constitute evidence against dismissing the monetary aggregates or financial variables as completely irrelevant.
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