US domestic money, inflation and output

• 成果类型: Article
• 署名作者: Aksoy, Y; Piskorski, T
• 署名单位: University of London; Birkbeck University London; New York University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.01.002
• 发表日期: 2006
• 页码: 183-197
• 关键词: foreign holdings; domestic money; monetary aggregates; information value

摘要

Recent empirical research documents that the strong short-term relationship between U.S. monetary aggregates on one side and inflation and real output on the other has mostly disappeared since the early 1980s. Using the direct estimate of flows of U.S. dollars abroad we find that domestic money (currency corrected for the foreign holdings of dollars) contains valuable information about future movements of U.S. inflation and real output. Statistical evidence suggests that the Friedman-Schwartz stylized facts can be reestablished once the focus of analysis is back on the correct measure of domestic monetary aggregates. (c) 2006 Elsevier B.V. All rights reserved.