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Money growth and velocity with structural breaks: Evidence from the Philippines

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Author Info

  • Assad L. Baunto

    (School of economics - University of Philippines)

  • Christian Bordes

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

  • Samuel Maveyraud-Tricoire

    (GREThA - Groupe de Recherche en Economie Théorique et Appliquée - CNRS : UMR5113 - Université Montesquieu - Bordeaux IV)

  • Philippe Rous

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - Université de Limoges : EA1088 - Institut Sciences de l'Homme et de la Société)

Abstract

This paper aims to test the Friedmanite proposal on the link between the velocity of money demand and money growth. We base our work on the Philippines as its monetary policy has been subject to sharp swings since the 1980s. We use a method that takes into account possible structural breaks in the velocity of money demand and a GARCH model to evaluate the variability of money growth. We apply Granger causality tests to confirm the Friedmanite hypothesis

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Bibliographic Info

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number hal-00785395.

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Date of creation: 2011
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Publication status: Published, Philippine Management Review, 2011, 18, 71-81
Handle: RePEc:hal:cesptp:hal-00785395

Note: View the original document on HAL open archive server: http://hal-unilim.archives-ouvertes.fr/hal-00785395
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  1. Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers 347, Princeton, Department of Economics - Econometric Research Program.
  2. Lamberte, Mario B., 2002. "Central Banking in the Philippines: Then, Now and the Future," Discussion Papers DP 2002-10, Philippine Institute for Development Studies.
  3. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  5. Mina Baliamoune‐Lutz & Jonathan Haughton, 2004. "Velocity Effects of Increased Variability in Monetary Growth in Egypt: A Test of Friedman's Velocity Hypothesis," African Development Review, African Development Bank, vol. 16(1), pages 36-52.
  6. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
  7. Friedman, Milton, 1983. "Monetary Variability: United States and Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 339-43, August.
  8. Zijun Wang, 2006. "The joint determination of the number and the type of structural changes," Economics Letters, Elsevier, vol. 93(2), pages 222-227, November.
  9. John Thornton, 2006. "High And Variable Inflation: Further Evidence On The Friedman Hypothesis," South African Journal of Economics, Economic Society of South Africa, vol. 74(2), pages 167-171, 06.
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