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Money Growth Uncertainty and Real Output: Trivariate VAR GARCH-M Model

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  • Seungjun Lee

    (Chonnam National University)

Abstract

Unlike previous literatures investigating the relationship between inflation un-certainty and rail variables, we investigate the Friedman 's hypothesis by observing empirically the relationship between money growth uncertainty and real output We generated money growth uncertainty data by employing GARCH-M model and at the same time examined the empirical validity of the hypothesis in the U.S economy. We found that the empirical results did provide support on our claim that money grouth uncertainty in stead of the inflation uncertainty neg-atively affects real output growth. Also, allowing parameters of the money growth equation in the VAR GARCH-M model to exhibit discrete changer at the third quarter of 1979 and 1982 brings richer specification for capturing deterministic shifts in the monetary regime.

Suggested Citation

  • Seungjun Lee, 1998. "Money Growth Uncertainty and Real Output: Trivariate VAR GARCH-M Model," Korean Economic Review, Korean Economic Association, vol. 14, pages 23-40.
    • Handle: RePEc:kea:keappr:ker-199806-14-1-02
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    More about this item

    Keywords

    Money Growth Uncertainty; Real Output; Trivarite VAR GARCH-M;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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