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A structural VARMA approach to modelling the money supply process

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  • Victor M. Gonzalo Angulo

Abstract

A conceptual framework for research on the money supply process is presented and illustrated with empirical multivariate time series analyses of the Spanish case in monthly data from 1964 to 1990. Existing behavioural distinctions between monetary authority, private banking and private nonbanking sectors are employed, and these are formulated within a general, linear, nonexplosive, invertible multivariate stochastic process for the components of money multipliers. Behavioural distinctions are thus drawn directly in a very general, though empirically accessible, dynamic and stochastic framework. Identification hypotheses are suggested, allowing for a usable behavioural interpretation. The illustrative empirical work for the Spanish case reveals various directions in which the theoretical generality is relevant in practice.

Suggested Citation

  • Victor M. Gonzalo Angulo, 1999. "A structural VARMA approach to modelling the money supply process," Applied Economics, Taylor & Francis Journals, vol. 31(2), pages 195-206.
    • Handle: RePEc:taf:applec:v:31:y:1999:i:2:p:195-206
    DOI: 10.1080/000368499324426
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    References listed on IDEAS

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    1. Milton Friedman & Anna J. Schwartz, 1963. "A Monetary History of the United States, 1867–1960," NBER Books, National Bureau of Economic Research, Inc, number frie63-1, March.
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