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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Macroeconomic Dynamics.
Volume (Year): 10 (2006)
Issue (Month): 05 (November)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_MDYProvider-Email:email@example.com
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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.
- Pei-Tha Gan, 2014. "The Optimal Economic Uncertainty Index: A Grid Search Application," Computational Economics, Society for Computational Economics, vol. 43(2), pages 159-182, February.
- Cronin, David & Kennedy, Bernard, 2007. "Does Uncertainty Impact Money Growth? A Multivariate GARCH Analysis," Research Technical Papers 6/RT/07, Central Bank of Ireland.
- repec:clg:wpaper:2012-05 is not listed on IDEAS
- 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.
- Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
- 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.
- Christian Bordes & Samuel Maveyraud, 2008. "The Friedman's and Mishkin's Hypotheses (Re)Considered," Post-Print hal-00308571, HAL.
- Apostolos Serletis & Sajjadur Rahman, 2009. "The Output Effects of Money Growth Uncertainty: Evidence from a Multivariate GARCH-in-Mean VAR," Open Economies Review, Springer, vol. 20(5), pages 607-630, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.