The case for Divisia monetary statistics: A Bayesian time-varying approach

Ellington, Michael ORCID: 0000-0003-0264-7572 (2018) The case for Divisia monetary statistics: A Bayesian time-varying approach. Journal of Economic Dynamics and Control, 96. pp. 26-41.

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Abstract

The zero lower bound and quantitative easing policies have rekindled interest in the link between monetary aggregates and the business cycle. This paper argues, on the basis of Bayesian time-varying coefficient VAR models that use Divisia indexes, that money is more closely linked to the business cycle, as well as forecasting economic activity more accurately, than existing literature claims. Moreover, the relationship between money and economic activity is considerably more pronounced during periods of economic distress, such as in the Great Recession.

Item Type:	Article
Additional Information:	Source info: Journal of Economic Dynamics and Control, Forthcoming
Uncontrolled Keywords:	Time-varying Parameter VAR, Frequency Domain, Divisia Index, Monetary Policy
Depositing User:	Symplectic Admin
Date Deposited:	24 Oct 2018 13:13
Last Modified:	04 Mar 2024 08:54
DOI:	10.1016/j.jedc.2018.10.001
Open Access URL:	https://doi.org/10.1016/j.jedc.2018.10.001
Related URLs:	Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3027946