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Money growth, uncertainty and macroeconomic activity: a multivariate GARCH analysis

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  • David Cronin

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  • Robert Kelly
  • Bernard Kennedy

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Suggested Citation

  • David Cronin & Robert Kelly & Bernard Kennedy, 2011. "Money growth, uncertainty and macroeconomic activity: a multivariate GARCH analysis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 38(2), pages 155-167, May.
  • Handle: RePEc:kap:empiri:v:38:y:2011:i:2:p:155-167
    DOI: 10.1007/s10663-010-9124-5
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    References listed on IDEAS

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    1. repec:ubc:bricol:96-04 is not listed on IDEAS
    2. Joseph Atta-Mensah, 2004. "Money Demand and Economic Uncertainty," Staff Working Papers 04-25, Bank of Canada.
    3. Don Bredin & Stilianos Fountas, 2005. "Macroeconomic Uncertainty And Macroeconomic Performance: Are They Related?," Manchester School, University of Manchester, vol. 73(s1), pages 58-76, September.
    4. Carstensen, Kai, 2006. "Stock Market Downswing and the Stability of European Monetary Union Money Demand," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 395-402, October.
    5. Milton Friedman, 1961. "The Lag in Effect of Monetary Policy," Journal of Political Economy, University of Chicago Press, vol. 69, pages 447-447.
    6. Fountas, Stilianos & Karanasos, Menelaos, 2007. "Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 229-250, March.
    7. Hall, Thomas E & Noble, Nicholas R, 1987. "Velocity and the Variability of Money Growth: Evidence from Granger-Causality Tests: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(1), pages 112-116, February.
    8. Choi, Woon Gyu & Oh, Seonghwan, 2003. " A Money Demand Function with Output Uncertainty, Monetary Uncertainty, and Financial Innovations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(5), pages 685-709, October.
    9. Grier, Kevin B. & Perry, Mark J., 1998. "On inflation and inflation uncertainty in the G7 countries," Journal of International Money and Finance, Elsevier, vol. 17(4), pages 671-689, August.
    10. Claudio E. V. Borio, 2006. "Monetary and prudential policies at a crossroads? New challenges in the new century," BIS Working Papers 216, Bank for International Settlements.
    11. Serletis, Apostolos & Shahmoradi, Akbar, 2006. "Velocity And The Variability Of Money Growth: Evidence From A Varma, Garch-M Model," Macroeconomic Dynamics, Cambridge University Press, vol. 10(05), pages 652-666, November.
    12. Friedman, Milton, 1983. "Monetary Variability: United States and Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 339-343, August.
    13. Thornton, John, 1995. "Friedman's Money Supply Volatility Hypothesis: Some International Evidence: Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(1), pages 288-292, February.
    14. Lemke, Wolfgang & Greiber, Claus, 2005. "Money demand and macroeconomic uncertainty," Discussion Paper Series 1: Economic Studies 2005,26, Deutsche Bundesbank.
    15. Michael T. Belongia, 1984. "Money growth variability and GNP," Review, Federal Reserve Bank of St. Louis, issue Apr, pages 23-31.
    16. Stilianos Fountas & Menelaos Karanasos & Jinki Kim, 2006. "Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(3), pages 319-343, June.
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    Cited by:

    1. Artur Tarassow, 2017. "Forecasting growth of U.S. aggregate and household-sector M2 after 2000 using economic uncertainty measures," Macroeconomics and Finance Series 201702, Hamburg University, Department Wirtschaft und Politik.
    2. Havvanur Feyza Erdem & Rahmi Yamak, 2016. "Measuring The Optimal Macroeconomic Uncertainty Index For Turkey," Economic Annals, Faculty of Economics, University of Belgrade, vol. 61(210), pages 7-22, July - Se.
    3. Ingrid Groessl & Artur Tarassow, 2015. "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series 201504, Hamburg University, Department Wirtschaft und Politik, revised Jan 2018.
    4. Pei-Tha Gan, 2014. "The Optimal Economic Uncertainty Index: A Grid Search Application," Computational Economics, Springer;Society for Computational Economics, vol. 43(2), pages 159-182, February.
    5. Guerello, Chiara, 2016. "The effect of investors’ confidence on monetary policy transmission mechanism," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 248-266.

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