Velocity And The Variability Of Money Growth: Evidence From A Varma, Garch-M Model
AbstractThis paper uses recent advances in financial econometrics to test the Friedman hypothesis that money supply volatility Granger-causes velocity. Comparisons are made among simple-sum and Divisia velocity series at the M1 and M2 levels of monetary aggregation, using quarterly data from 1959:1 to 2004:3. The conclusion is that the Friedman hypothesis cannot be rejected if money supply volatility is modeled explicitly, using models that capture important volatility effects that previous work has ignored.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Macroeconomic Dynamics.
Volume (Year): 10 (2006)
Issue (Month): 05 (November)
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- William Barnett, 2013.
"Friedman and Divisia Monetary Measures,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
201312, University of Kansas, Department of Economics, revised Dec 2013.
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- Abdul Karim, Zulkefly & Jusoh, Mansor & Khalid, Norlin, 2008.
"Halaju wang di Malaysia : bukti empirik
[The velocity of money in Malaysia : empirical evidence]," MPRA Paper 26966, University Library of Munich, Germany, revised 19 Jun 2008.
- David Cronin & Robert Kelly & Bernard Kennedy, 2011. "Money growth, uncertainty and macroeconomic activity: a multivariate GARCH analysis," Empirica, Springer, vol. 38(2), pages 155-167, May.
- repec:clg:wpaper:2012-05 is not listed on IDEAS
- Christian Bordes & Samuel Maveyraud, 2008. "The Friedman's and Mishkin's Hypotheses (Re)Considered," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) hal-00308571, HAL.
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