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Advances in Monetary and
Financial Measurement (AMFM)

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Key articles and books surrounding the development of advances in monetary and financial measurement. This Library does not include data archives. International and US data archives, along with regular monthly updates, can be found within other sections of the AMFM site.

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You can filter the studies shown below by category, keyword, and/or author.
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Important Books
Principal Research Articles:
Important Papers Highly Relevant to AMFM
Secondary Papers Highly Relevant to AMFM
Associated Methodology Articles:
Technical Papers Relevant to Use within Econometric Models
Technical Papers Relevant to Nonlinear Dynamic Modeling
International Research:
Papers Using or Producing International Divisia Monetary Aggregates

Important Papers Highly Relevant to AMFM
2021 Is Broader Better? A Monetary Approach to Forecasting Economic Activity
Michael Ellington & Marcin Michalski
This paper investigates whether the use of broader Divisia monetary aggregates improves money's performance in forecasting economic activity within a time-varying parameter vector autoregressive (TVP-VAR) framework. We evaluate entire predictive densities from several alternative models of US output growth and inflation, each using eight different Divisia monetary aggregates. Using the broadest, M4 aggregate produces out-of-sample forecasts which consistently outperform those based on narrower measures of money, pooling of forecasts from several models, and a large-scale, 143-variable model. Our results show that TVP-VARs with Divisia M4 forecast economic activity more accurately than constant-parameter models with alternative or no measures of money.
2018 The case for Divisia monetary statistics: A Bayesian time-varying approach
Michael Ellington
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.