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Are the Responses of the U.S. Economy Asymmetric to Positive and Negative Money Supply Shocks?

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  • Apostolos Serletis

    (University of Calgary)

  • Khandokar Istiak

Abstract

We investigate whether the United States economy responds asymmetrically to positive and negative money supply shocks of different magnitude, using a test recently introduced by Kilian and Vigfusson (Quant Econ 2:419–453, 2011) based on impulse response functions. We use quarterly data, over the period from 1967:1 to 2014:1, and the new CFS Divisia monetary aggregates, making a comparison among the narrower monetary aggregates, M1, M2M, MZM, M2, and ALL, and the broad monetary aggregates, M4+, M4-, and M3. We show that there is no statistically significant evidence of asymmetry in the response of the U.S. economy to positive and negative money supply shocks of different magnitude.
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Suggested Citation

  • Apostolos Serletis & Khandokar Istiak, "undated". "Are the Responses of the U.S. Economy Asymmetric to Positive and Negative Money Supply Shocks?," Working Papers 2015-17, Department of Economics, University of Calgary, revised 10 Aug 2015.
    • Handle: RePEc:clg:wpaper:2015-17
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    File URL: https://econ.ucalgary.ca/sites/econ.ucalgary.ca.manageprofile/files/unitis/publications/1-6463284/Serletis_and_IstiakJuly15.pdf
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    References listed on IDEAS

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    Cited by:

    1. Kyritsis, Evangelos & Serletis, Apostolos, 2018. "The zero lower bound and market spillovers: Evidence from the G7 and Norway," Research in International Business and Finance, Elsevier, vol. 44(C), pages 100-123.
    2. Alam, Md Rafayet & Istiak, Khandokar, 2020. "Impact of US policy uncertainty on Mexico: Evidence from linear and nonlinear tests," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 355-366.
    3. William A. Barnett & Biyan Tang, 2016. "Chinese Divisia Monetary Index and GDP Nowcasting," Open Economies Review, Springer, vol. 27(5), pages 825-849, November.
    4. Karl Pinno & Apostolos Serletis, 2016. "Money, Velocity, and the Stock Market," Open Economies Review, Springer, vol. 27(4), pages 671-695, September.
    5. William A. Barnett & Soumya Suvra Bhadury & Taniya Ghosh, 2016. "An SVAR Approach to Evaluation of Monetary Policy in India: Solution to the Exchange Rate Puzzles in an Open Economy," Open Economies Review, Springer, vol. 27(5), pages 871-893, November.
    6. Ali Jadidzadeh & Apostolos Serletis, 2019. "The Demand for Assets and Optimal Monetary Aggregation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(4), pages 929-952, June.

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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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