Abstract

This paper provides the most complete evidence to date on the importance of monetary aggregates as a policy tool in an inflation forecasting experiment. Every possible definition of ‘money ’ in the USA is being considered for the full data period (1960 – 2006), in addition to two different approaches to constructing the benchmark asset, using the most sophisticated non-linear artificial intelligence techniques available, namely, recurrent neural networks, evolutionary strategies and kernel methods. Three top computer scientists in three top UK universities (Dr Peter Tino at the University of Birmingham, Dr Graham Kendall at the University o