This paper studies the determinants of inflation in the US under a VAR modeling approach, using Granger causality tests and out-of-sample performance comparisons, to provide a deeper analysis for asset management. It is demonstrated that after correcting for structural changes, both money supply and real activity measures have merit in determining inflation. More importantly, the paper shows how decisive it is for asset managers to understand the ways structural changes affect these traditional transmission mechanisms and how to take them into account in order to be able to timely assess inflation trends
