Interest Rates, Money, and Economic Activity
Apostolos Serletis and
Cosmas Dery
Additional contact information
Cosmas Dery: University of Calgary
No 2019-16, Working Papers from Department of Economics, University of Calgary
Abstract:
In this paper, we are motivated by the fact that little is known about the relative performance of broad and narrow Divisia monetary aggregates, and by recent work that tests and rejects the appropriateness of the aggregation assumptions that underlie the various monetary aggregates published by the Federal Reserve as well as a large number of monetary asset groupings suggested by earlier studies. We present a comprehensive comparison of narrow versus broad Divisia monetary aggregates within three classes of empirical models. We compute correlations between the cyclical components of Divisia monetary aggregates at different levels of aggregation and the cyclical component of industrial production. We test for Granger causality running from the Divisia aggregates to industrial production and various other measures of real economic activity. We also reestimate a structural VAR based on earlier work by Leeper and Roush (2003) and Belongia and Ireland (2015, 2016), modifying that earlier work by using monthly rather than quarterly data and extending it, both by using broad as well as narrower Divisia monetary aggregates and by allowing for GARCH behavior in the structural shocks.
Date: 2019-10-08
New Economics Papers: this item is included in nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)
Downloads: (external link)
https://econ.ucalgary.ca/sites/econ.ucalgary.ca.ma ... tis_October_2019.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
Related works:
Journal Article: INTEREST RATES, MONEY, AND ECONOMIC ACTIVITY (2021) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:clg:wpaper:2019-16
Access Statistics for this paper
More papers in Working Papers from Department of Economics, University of Calgary Contact information at EDIRC.
Bibliographic data for series maintained by Department of Economics ().