Money volatility and output volatility: any asymmetric effects?: Evidence from conditional measures of volatility

Nicholas Apergis () and Stephen M. Miller ()

Journal of Economic Studies, 2005, vol. 32, issue 5, pages 511-523

Abstract: Purpose – To investigate whether monetary volatility in the US exerts any asymmetric impact on output volatility over the period 1974-2002. Design/methodology/approach – For the empirical purposes, the analysis makes use of the multi-variable GARCH (MVGARCH), which allows not only the presence of volatility clustering but also the presence of asymmetries in that volatility clustering. Findings – The empirical findings suggest that money supply volatility exerts a significant asymmetric influence on output volatility, i.e. the variance of output changes more due to positive changes than negative changes of money supply volatility. Originality/value – The paper investigates, for the first time, the presence of any asymmetric impact of the volatility of money on the volatility of output in the case of the US.

Keywords: Monetary policy; Money; United States of America; Variance (search for similar items in EconPapers)
Date: 2005
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