Money growth and velocity with structural breaks: Evidence from the Philippines
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
|Date of creation:||2011|
|Date of revision:|
|Note:||View the original document on HAL open archive server: https://hal-unilim.archives-ouvertes.fr/hal-00785395|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lamberte, Mario B., 2002. "Central Banking in the Philippines: Then, Now and the Future," Discussion Papers DP 2002-10, Philippine Institute for Development Studies.
- 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.
- Perron, Pierre, 1990.
"Testing for a Unit Root in a Time Series with a Changing Mean,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 8(2), pages 153-62, April.
- 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.
- Maria Socorro Gochoco-Bautista, 2005.
"An Assessment of the Usefulness of Money for Policy in the Philippines,"
UP School of Economics Discussion Papers
200508, University of the Philippines School of Economics.
- Maria Socorro Gochoco-Bautista, 2006. "An Assessment of the Usefulness of Money for Policy in the Philippines," Asian Economic Papers, MIT Press, vol. 5(1), pages 142-176, January.
- Friedman, Milton, 1983. "Monetary Variability: United States and Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 339-43, August.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
"Efficient Tests for an Autoregressive Unit Root,"
NBER Technical Working Papers
0130, National Bureau of Economic Research, Inc.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:hal:cesptp:hal-00785395. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)
If references are entirely missing, you can add them using this form.