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MONEY SUPPLY VOLATILITY AND THE MACROECONOMY

Published online by Cambridge University Press:  04 January 2019

Apostolos Serletis  and
Libo Xu
Apostolos Serletis*
Affiliation:
University of Calgary
Libo Xu
Affiliation:
University of San Francisco
*
Address correspondence to: Apostolos Serletis, Department of Economics, University of Calgary, Calgary, Alberta T2N 1N4, Canada. e-mail: [email protected]. Phone: (403) 220-4092. Fax: (403) 282-5262.
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Abstract

This paper extends the ongoing literature on the macroeconomic effects of money supply volatility. We use monthly data for the USA and a bivariate, Markov switching, structural vector error correction model that is modified to accommodate generalized autoregressive conditional heteroscedasticity-in-mean errors to isolate the effects of money growth volatility on output growth. The model allows us to study how monetary uncertainty affects economic growth across different macroeconomic regimes.

Keywords

CFS Divisia Monetary AggregatesMarkov Regime-SwitchingMoney Growth Volatility
Type
Articles
Information
Macroeconomic Dynamics , Volume 24 , Issue 6 , September 2020 , pp. 1392 - 1402
Copyright
© 2019 Cambridge University Press

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Footnotes

We would like to thank two anonymous referees for excellent comments that greatly improved the paper. Web: http://econ.ucalgary.ca/profiles/162-33618

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