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Money growth and velocity with structural breaks: Evidence from the Philippines

  • Assad L. Baunto

    (School of economics - University of Philippines)

  • Christian Bordes


    (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS)

  • Samuel Maveyraud-Tricoire

    (GREThA - Groupe de Recherche en Economie Théorique et Appliquée - CNRS - Université Montesquieu - Bordeaux 4)

  • Philippe Rous

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - UNILIM - Université de Limoges - IR SHS UNILIM - Institut Sciences de l'Homme et de la Société)

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

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number hal-00785395.

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Date of creation: 2011
Date of revision:
Handle: RePEc:hal:cesptp:hal-00785395
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  1. Lamberte, Mario B., 2002. "Central Banking in the Philippines: Then, Now and the Future," Discussion Papers DP 2002-10, Philippine Institute for Development Studies.
  2. 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.
  3. 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.
  4. 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.
  5. Friedman, Milton, 1983. "Monetary Variability: United States and Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 339-43, August.
  6. 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.
  7. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  8. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  9. 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.
  10. 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.
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