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VELOCITY AND THE VARIABILITY OF MONEY GROWTH: EVIDENCE FROM A VARMA, GARCH-M MODEL
Macroeconomic Dynamics (2006)
  • Apostolos Serletis, University of Calgary
  • Akbar Shahmoradi
Abstract
This 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.
Keywords
  • Multivariate GARCH,
  • Variability of Money Growth,
  • Simple-Sum,
  • Divisia
Publication Date
November, 2006
Citation Information
Apostolos 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/