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Über Konjunkturprognosen auf der Grundlage einer monetären Schätzgleichung
Eine Fallstudie
Credit and Capital Markets – Kredit und Kapital, Vol. 19 (1986), Iss. 1 : pp. 25–57
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Eirik Svindland, Berlin
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Abstract
On Trade Cycle Forecasts Based on a Monetary Estimating Equation
The tested Kiel estimating equation is wrongly specified, if it is understood as a dynamic version of the simple quantity theory. Its alternative monetaristic conception as the reduced form of an impulse model contains no statement on real development in conjunction with a specific steady growth of the monery supply. This argumentation is based on a weak hypothesis concerning structural constancy -- the numerical values of the parameters may vary with the algebraic sign remaining unchanged. Estimates and applications for short-range forecasts should take account of this variability. The information on monetary policy time lags implies that the assumed lag relationships lie within a single year. Consequently, estimates were also made on the basis of quarterly data. In comparison with the preceding quarter, good adjustment of the estimating equation to seasonal annual cycles was found. The quarterly data compared to the preceding year, however, exhibit a mixture of seasonal and cyclical fluctuations, which are not covered by the estimating equation. Cyclical fluctuations of the annual data, on the other hand, are well approximated. In all three cases, both the retrospective adjustment of the equation to the data and the result of the forecasting experiments are considerably better, if fresh data are used for shifting instead of prolonging the estimation interval. Since the changes in the estimation interval also occasion many changes in the algebraic signs of the parameters, correspondence of the data with the given monetaristic substantiation of the equation is very questionable. For the annual data equation, particularly interesting interrelationships were found between parameter changes and changes in the macroeconomic problems. As a forecasting instrument basedon time-series analysis, the eguation must be used with the same caution as all other extrapolations of time-series patterns