The Transactions Velocity of Money and Its Efficiency

R. J. Sweeney

Journal of Financial and Quantitative Analysis, 1984, vol. 19, issue 3, 339-350

Abstract: This paper models the unobservable rate of return on money balances (r) as depending directly on the transactions velocity of money (ν). Approximating this relationship linearly, the efficient markets hyphothesis (EMH) is shown to imply that first differences of the log of ν should either be random or should show negative first-order serial correlation at most. The empirical evidence presented below is consistent with the EMH.

Date: 1984
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