VELOCITY AND THE VARIABILITY OF MONEY GROWTH: EVIDENCE FROM A VARMA, GARCH-M MODELMacroeconomic Dynamics (2006)
AbstractThis paper uses recent advances in financial econometrics to test the Friedman hypothesis that money supply volatility Granger-causes velocity. Comparisons are made among simple-sum and Divisia velocity series at the M1 and M2 levels of monetary aggregation, using quarterly data from 1959:1 to 2004:3. The conclusion is that the Friedman hypothesis cannot be rejected if money supply volatility is modeled explicitly, using models that capture important volatility effects that previous work has ignored.
- Multivariate GARCH,
- Variability of Money Growth,
Publication DateNovember, 2006
Citation InformationApostolos Serletis and Akbar Shahmoradi. "VELOCITY AND THE VARIABILITY OF MONEY GROWTH: EVIDENCE FROM A VARMA, GARCH-M MODEL" Macroeconomic Dynamics Vol. 10 (2006)
Available at: http://works.bepress.com/akbar_shahmoradi/2/